Search Results - "Tan, Senren"

Computing the Kolmogorov-Smirnov Distribution When the Underlying CDF is Purely Discrete, Mixed, or Continuous by Dimitrova, Dimitrina S., Kaishev, Vladimir K., Tan, Senren

“…The distribution of the Kolmogorov-Smirnov (KS) test statistic has been widely studied under the assumption that the underlying theoretical cumulative…”
Get full text

On double-boundary non-crossing probability for a class of compound processes with applications by Dimitrova, Dimitrina S., Ignatov, Zvetan G., Kaishev, Vladimir K., Tan, Senren

“…•Fast Fourier transform method to compute double boundary non-exit probabilities.•New applications in inventory optimization, option pricing and ruin…”
Get full text

Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump–diffusion model by Tan, Senren, Jin, Zhuo, Yin, G.

“…This paper develops an optimal dividend policy for an insurance company, whose asset and liability have different dynamics, and whose surplus follows a…”
Get full text

Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks by Tan, Senren, Jin, Zhuo, Wu, Fuke

“…This paper develops a model that explains the causation of persistent bubbles when arbitrageurs have noticed the overpricing. It has been claimed that a…”
Get full text