Budhi Surya

Economics, Econometrics and Finance · Social Sciences

9h-index417citations94works0.62yr avg
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Research Topics

Stochastic processes and financial applications(35), Probability and Risk Models(22), Statistical Distribution Estimation and Applications(12), Credit Risk and Financial Regulations(12), Financial Risk and Volatility Modeling(11)

Publications93 total

Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option
Insurance Mathematics and Economics·2025Open Access
A calibrated model for lung cancer natural history: the case for New Zealand
Journal of Simulation·2024
OPTIMAL SELLING TIME OF A STOCK UNDER CAPITAL GAINS TAXES
International Journal of Theoretical and Applied Finance·2024Open Access
Maximum likelihood recursive state estimation: Exact and robust filtering equations with MSE stability
2024Open Access
Maximum likelihood recursive state estimation: An incomplete-information based approach
Automatica·2024· 2 citedOpen Access
Estimation in a general mixture of Markov jump processes
Canadian Journal of Statistics·2024
Optimal Valuation of Variable Annuity Guaranteed Lifetime Withdrawal Benefits with Embedded Top-up Option
2024Open Access
Optimal filtering of stochastic systems with state-dependent noises: The exact dynamics
2024Open Access
Maximum likelihood recursive state estimation: An incomplete-information based approach
2024· 3 citedOpen Access
The exact dynamical equations of optimal nonlinear filtering: New approach and results
2024· 1 citedOpen Access
New approach and results in nonlinear filtering of continuous-time state space
2024Open Access
Maximum likelihood estimation of continuous-time non-homogeneousMarkov chains with time-dependent intensity and covariates
2023Open Access
Maximum likelihood estimation of covariates dependent transition intensity of continuous time Markov chains with finite state space
2023Open Access
Maximum likelihood smoothing estimation in state-space models: An incomplete-information based approach
arXiv (Cornell University)·2023Open Access
Some results on maximum likelihood from incomplete data: finite sample properties and an improved M-estimator for resampling method
Research Square (Research Square)·2023Open Access
Profile likelihood estimation for the cox proportional hazards (PH) cure model and standard errors
Statistical Papers·2023
Maximum likelihood recursive state estimation in state-space models: A new approach based on statistical analysis of incomplete data
arXiv (Cornell University)·2022Open Access
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Scandinavian Actuarial Journal·2022
Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
Journal of Multivariate Analysis·2022· 2 cited
Some results on maximum likelihood of incomplete data: finite sample properties, consistent sandwich estimator of covariance matrix and recursive algorithms.
arXiv (Cornell University)·2021Open Access
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Frequent Co-authors

Kazutoshi Yamazaki(8), Zbigniew Palmowski(4), Andreas E. Kyprianou(3), Erik J. Baurdoux(3), Nan Chen(3), Zezhun Chen(3), Angelos Dassios(3), Valerie Kuan(3), Jia Wei Lim(3), Yan Qu(3), Hongbiao Zhao(3), José Luis Pérez(2), Halina Frydman(2), Nora Amelda Rizal(2), Ashri Putri Rahadi(2), Ronnie Loeffen(1), Teguh Gunawan Nasher(1), Ryan Kurniawan(1), Sudarso Kaderi Wiryono(1), Adrian Munich(1)