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subject:"Portfolio-Management"
type_genre:"Sammlung"
~isPartOf:"Economic modelling"
~person:"Kraft, Holger"
~person:"Siu, Tak Kuen"
~subject:"Credit risk"
~subject:"Risk measure"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio-Management
Credit risk
Risk measure
Theorie
4
Theory
4
Portfolio selection
3
Dynamic programming principle
2
Markov chain
2
Markov-Kette
2
Reinsurance
2
Rückversicherung
2
Stochastic process
2
Stochastischer Prozess
2
Dividend
1
Dividende
1
Excess of loss reinsurance
1
Expectation-Maximization (EM) Algorithm
1
Expected value premium principle
1
HJB equation
1
Heavy-tailed claims
1
Higher-Order Autoregressive Hidden Markov Model (HO-HMMAR)
1
Interest rate
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Mathematical programming
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Mathematische Optimierung
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Optimal asset allocation
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Proportional reinsurance
1
Regime-switching
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Risikomodell
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Risk model
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Ruin probability
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Stochastic flows
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Stochastic interest rate
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Utility maximization
1
Variance premium principle
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Kraft, Holger
Siu, Tak Kuen
Prigent, Jean-Luc
5
Yang, Chunpeng
4
Yao, Haixiang
4
Zeng, Yan
3
Araichi, Sawssen
2
Belkacem, Lotfi
2
Chen, Shumin
2
Jawadi, Fredj
2
Jiang, Cuixia
2
Jorge, José
2
Li, Shenghong
2
Ma, Guiyuan
2
Peretti, Christian de
2
Sheng, Jiliang
2
Siu, Chi Chung
2
Su, Xiaoshan
2
Wu, Huiling
2
Xu, Qifa
2
Yang, Jun
2
Yu, Keming
2
Zhang, Wei-guo
2
Zhang, Xili
2
Zhou, Jian
2
Zhu, Song-Ping
2
Abbas, Qaisar
1
Abid, Ilyes
1
Aggarwal, Nidhi
1
Ali Shah, Syed Zulfiqar
1
Amédée-Manesme, Charles-Olivier
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An, Yunbi
1
Andrieş, Alin Marius
1
Artis, Michael J.
1
Ayub, Usman
1
Ba, Shusong
1
Bahaji, Hamza
1
Bai, Manying
1
Bao, Liang
1
Bao, Qunfang
1
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Economic modelling
European journal of operational research : EJOR
3
Journal of economic dynamics & control
3
Mathematical methods of operations research
3
Annals of operations research
2
International journal of theoretical and applied finance
2
Risk and decision analysis
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Annals of finance
1
Asia-Pacific financial markets
1
Computational economics
1
Finance and stochastics
1
IMA journal of management mathematics
1
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical methods of operations research : ZOR
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Operations research letters
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Review of finance : journal of the European Finance Association
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ECONIS (ZBW)
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1
Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Economic modelling
66
(
2017
),
pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
Saved in:
2
Optimal reinsurance policies with two reinsurers in continuous time
Meng, Hui
;
Zhou, Ming
;
Siu, Tak Kuen
- In:
Economic modelling
59
(
2016
),
pp. 182-195
Persistent link: https://www.econbiz.de/10011647797
Saved in:
3
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
Saved in:
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