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20162026
most citedModelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework

22 citations · 144 across the 21 of their papers we have counts for

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math.OC2022

On the surplus management of funds with assets and liabilities in presence of solvency requirements

Benjamin Avanzi, Ping Chen, Lars Frederik Brandt Henriksen +1

In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determi…