57 citations · 115 across the 39 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
q-fin.RM2014
A new multivariate dependence measure based on comonotonicity
Ying Zhang, Chuancun Yin
In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN…
q-fin.PM2014
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Chuancun Yin, Kam Chuen Yuen
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practic…