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Updated: Dec 24, 2025

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Contagion modeling between the financial and insurance markets with time changed processes

Donatien Hainaut1

  • 1ISBA, Université Catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgique.

Insurance, Mathematics & Economics
|April 15, 2020
PubMed

Keywords:
Asset-liability managementCramer–Lundberg risk modelSelf-exciting processStochastic optimal controlTime-changed Lévy process

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