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person:"Cornett, Marcia Millon"
subject:"Theory"
~language:"eng"
~person:"Boonen, Tim J."
~person:"Glasserman, Paul"
~person:"Pedersen, Lasse Heje"
~type_genre:"Aufsatz in Zeitschrift"
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Theory
Risikomanagement
16
Risk management
16
Theorie
12
Portfolio selection
9
Portfolio-Management
9
Risiko
7
Risk
7
Risikomaß
5
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5
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3
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3
Capital allocation
3
Reinsurance
3
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risk management
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Aitchison geometry
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Cornett, Marcia Millon
Boonen, Tim J.
Glasserman, Paul
Pedersen, Lasse Heje
Wang, Ruodu
15
Embrechts, Paul
11
Tan, Ken Seng
11
Fabozzi, Frank J.
10
Broll, Udo
9
Mao, Tiantian
8
Cai, Jun
7
Dionne, Georges
7
Gatzert, Nadine
7
Rüschendorf, Ludger
7
Alexander, Gordon J.
6
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
Chen, Zhiping
6
Chi, Yichun
6
Furman, Edward
6
Puccetti, Giovanni
6
Righi, Marcelo Brutti
6
Tang, Qihe
6
Baptista, Alexandre M.
5
Bartram, Söhnke M.
5
Bernard, Carole
5
Brandtner, Mario
5
Cheung, Ka Chun
5
Cossette, Hélène
5
Dias, Alexandra
5
Feng, Runhuan
5
Godin, Frédéric
5
Hurlin, Christophe
5
Liu, Fangda
5
Mitic, Peter
5
Shevchenko, Pavel V.
5
Taksar, Michael I.
5
Yang, Fan
5
Allen, Franklin
4
Balbás, Beatriz
4
Bhansali, Vineer
4
Brigo, Damiano
4
Chen, An
4
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European journal of operational research : EJOR
4
Insurance / Mathematics & economics
2
Financial analysts' journal : FAJ
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
The American economic review
1
The journal of finance : the journal of the American Finance Association
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The journal of portfolio management : JPM
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ECONIS (ZBW)
12
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1
Deep value
Asness, Cliff
;
Liew, John
;
Pedersen, Lasse Heje
; …
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 11-40
Persistent link: https://www.econbiz.de/10012486041
Saved in:
2
Bowley vs. Pareto optima in reinsurance contracting
Boonen, Tim J.
;
Ghossoub, Mario
- In:
European journal of operational research : EJOR
307
(
2023
)
1
,
pp. 382-391
Persistent link: https://www.econbiz.de/10014292989
Saved in:
3
A marginal indemnity function approach to optimal reinsurance under the Vajda condition
Boonen, Tim J.
;
Jiang, Wenjun
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 928-944
Persistent link: https://www.econbiz.de/10013364047
Saved in:
4
Risk sharing with multiple indemnity environments
Asimit, Alexandru V.
;
Boonen, Tim J.
;
Chi, Yichun
; …
- In:
European journal of operational research : EJOR
295
(
2021
)
2
,
pp. 587-603
Persistent link: https://www.econbiz.de/10013205971
Saved in:
5
A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.
;
De Waegenaere, Anja
;
Norde, Henk
- In:
European journal of operational research : EJOR
282
(
2020
)
1
,
pp. 277-287
Persistent link: https://www.econbiz.de/10012157603
Saved in:
6
Submodular risk allocation
Ghamami, Samim
;
Glasserman, Paul
- In:
Management science : journal of the Institute for …
65
(
2019
)
10
,
pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107
Saved in:
7
Forecasting compositional risk allocations
Boonen, Tim J.
;
Guillén, Montserrat
;
Santolino, Miguel
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 79-86
Persistent link: https://www.econbiz.de/10011990442
Saved in:
8
Bounding wrong-way risk in CVA calculation
Glasserman, Paul
;
Yang, Linan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 268-305
Persistent link: https://www.econbiz.de/10011969151
Saved in:
9
The role of a representative reinsurer in optimal reinsurance
Boonen, Tim J.
;
Tan, Ken Seng
;
Zhuang, Sheng Chao
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 196-204
Persistent link: https://www.econbiz.de/10011597268
Saved in:
10
Leverage aversion and risk parity
Asness, Clifford S.
;
Frazzini, Andrea
;
Pedersen, Lasse Heje
- In:
Financial analysts' journal : FAJ
68
(
2012
)
1
,
pp. 47-59
Persistent link: https://www.econbiz.de/10009558184
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