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A Bond Pricing Model with Credit Migration Risk:Different Upgrade and Downgrade Thresholds被引量：1
《Acta Mathematicae Applicatae Sinica》2023年第3期765-777,共13页Jin LIANG Yang LIN 
the National Natural Science Foundation of China (Nos. 12071349)。
In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce t...
关键词：credit migration risk corporate bond pricing structural model buffer zone monotonic iteration calibration 
Alternative Approach to the Optimality of the Threshold Strategy for Spectrally Negative Lvy Processes被引量：2
《Acta Mathematicae Applicatae Sinica》2013年第4期705-716,共12页Ying SHEN Chuan-cun YIN Kam Chuen YUEN 
Supported by the National Natural Science Foundation of China(No.10771119,No.11171179);the Research Fund for the Doctoral Program of Higher Education of China(No.20093705110002);The research of Kam C.Yuen was supported by a university research grant of the University of Hong Kong
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admis...
关键词：Spectrally negative Levy process optimal dividend problem scale function complete monotonic-ity threshold strategy 
Soft-capacitated Facility Location Game被引量：1
《Acta Mathematicae Applicatae Sinica》2010年第1期93-98,共6页Yu Li Da-chuan Xu 
Supported by the National Natural Science Foundation of China(No.60773185,10401038) and Program for Beijing Excellent Talents
We study the soft-capacitated facility location game which is an extension of the facility location game of Pa1 and Tardos. We propose a 6-approximate cross-monotonic cost-sharing method. Numerical tests indicate that...
关键词：Facility location game cross-monotonic COMPETITIVE approximate cost recovery 
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