5 citations · 5 across the 5 of their papers we have counts for
5 papers
A Two-Phase Dynamic Contagion Model for COVID-19
Zezhun Chen, Angelos Dassios, Valerie Kuan +4
In this paper, we propose a continuous-time stochastic intensity model, namely, two-phase dynamic contagion process(2P-DCP), for modelling the epidemic contagion of COVID-19 and in…
Parisian excursion with capital injection for draw-down reflected Levy insurance risk process
Budhi Surya, Wenyuan Wang, Xianghua Zhao +1
This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when i…
The Mixture of Markov Jump Processes: Monte Carlo Method and the EM Estimation
H. Frydman, B. A. Surya
This paper discusses tractable development and statistical estimation of a continuous time stochastic process with a finite state space having non-Markov property. The process is f…
Generalized Phase-Type Distribution and Competing Risks for Markov Mixtures Process
B. A. Surya
Phase-type distribution has been an important probabilistic tool in the analysis of complex stochastic system evolution. It was introduced by Neuts \cite{Neuts1975} in 1975. The mo…
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…