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~person:"Melʹnikov, Aleksandr V."
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Portfolio selection
13
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7
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equity-linked life insurance contract
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Melʹnikov, Aleksandr V.
Fabozzi, Frank J.
262
Maurer, Raimond
135
Mitchell, Olivia S.
115
Guidolin, Massimo
97
Platen, Eckhard
92
Campbell, John Y.
80
Satchell, Stephen
80
Lo, Andrew W.
75
McAleer, Michael
75
Gollier, Christian
74
Ang, Andrew
70
Hens, Thorsten
68
Kraft, Holger
66
Uppal, Raman
63
Bodie, Zvi
59
Schenk-Hoppé, Klaus Reiner
58
Korn, Ralf
57
Markowitz, Harry
57
Blake, David
54
Levy, Haim
54
Viceira, Luis M.
54
Wong, Wing Keung
54
Weber, Martin
53
Zaremba, Adam
52
Stambaugh, Robert F.
51
Elton, Edwin J.
50
Post, Thierry
50
Prigent, Jean-Luc
49
Wermers, Russ
49
Li, Duan
48
Lucas, André
47
Scherer, Bernd
46
Warnock, Francis E.
46
Zhou, Guofu
46
Evstigneev, Igor V.
45
Pedersen, Lasse Heje
45
Račev, Svetlozar T.
45
Zimmermann, Heinz
45
Agarwal, Vikas
44
Kane, Alex
44
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2
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Chapman & Hall - CRC monographs and surveys in pure and applied mathematics
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ECONIS (ZBW)
13
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1
Quantile hedging in a defaultable market with life insurance applications
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 248-265
Persistent link: https://www.econbiz.de/10012500262
Saved in:
2
On modifications of the Bachelier model
Melʹnikov, Aleksandr V.
;
Wan, Hongxi
- In:
Annals of finance
17
(
2021
)
2
,
pp. 187-214
Persistent link: https://www.econbiz.de/10012585516
Saved in:
3
Quantile hedging in models with dividends and application to equity-linked life insurance contracts
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 207-224
Persistent link: https://www.econbiz.de/10012240110
Saved in:
4
Bachelier model with stopping time and its insurance application
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
Saved in:
5
Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 167-175
Persistent link: https://www.econbiz.de/10011743830
Saved in:
6
On mean-variance hedging under partial observations and terminal wealth constraints
Makogin, Vitalii
;
Melʹnikov, Aleksandr V.
;
Mišura, …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734050
Saved in:
7
Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Melʹnikov, Aleksandr V.
;
Nosrati, Amir
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011404363
Saved in:
8
Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.
;
Tong, Shuo
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 77-88
Persistent link: https://www.econbiz.de/10010437626
Saved in:
9
Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
Melʹnikov, Aleksandr V.
;
Tong, Shuo
- In:
Risk and decision analysis
4
(
2013
)
3
,
pp. 207-223
Persistent link: https://www.econbiz.de/10010190153
Saved in:
10
Risk analysis in finance and insurance
Melʹnikov, Aleksandr V.
-
2011
-
2. ed.
Persistent link: https://www.econbiz.de/10009382162
Saved in:
1
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