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[The paper re-examines and generalizes the construction of several variants of market models for forward CDS spreads, as first presented by Brigo . We compute explicitly the joint dynamics for some families of forward CDS spreads under a common probability measure. We first examine this...
[In this paper, we consider the optimal dividend strategy for an insurer whose surplus process is modeled by the classical compound Poisson risk model modulated by an observable continuous-time Markov chain. The object of the insurer is to select the dividend strategy that maximizes the expected...
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