34 citations · 46 across the 17 of their papers we have counts for
18 papers
Ruin theory incorporating MIPP-type jumps
Dongdong Hu, Hasanjan Sayit
The paper studies the ruin probability for an insurer's surplus process when claim arrivals are governed by a Multiply Iterated Poisson Process (MIPP). This framework generalizes t…
Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck +1
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper de…
On certain integral functionals of integer-valued subordinators
Dongdong Hu, Hasanjan Sayit, Weixuan Xia
It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expre…
Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory
Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit +2
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applicati…
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
Weak convergence implies convergence in mean within GGC
Hasanjan Sayit
We prove that weak convergence within generalized gamma convolution (GGC) distributions implies convergence in the mean value. We use this fact to show the robustness of the expect…