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Functional sensitivity analysis of ruin probability in the classical risk models
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968
Persistent link: https://www.econbiz.de/10012696894
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Pricing inflation products with stochastic volatility and stochastic interest rates
Singor, Stefan N.; Grzelak, Lech A.; Bragt, David D.B. van - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 286-299
We consider a Heston type inflation model in combination with a Hull–White model for nominal and real interest rates, in which all the correlations can be non-zero. Due to the presence of the Heston dynamics our derived inflation model is able to capture the implied volatility skew/smile,...
Persistent link: https://www.econbiz.de/10010662453
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Risk management processes used in determining project feasibility in the property development process early stages by Australia/New Zealand property developers
Moorhead, Matthew; Armitage, Lynne; Skitmore, Martin - In: Journal of property investment & finance 40 (2022) 6, pp. 628-642
Persistent link: https://www.econbiz.de/10013370764
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A measure-valued differentiation approach to sensitivities of quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - In: Mathematics of operations research 41 (2016) 1, pp. 293-317
Persistent link: https://www.econbiz.de/10011448383
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Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling
Peng, Yijie; Fu, Michael; Heidergott, Bernd; Lam, Henry - In: Operations research 68 (2020) 6, pp. 1896-1912
Persistent link: https://www.econbiz.de/10012392175
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An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
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Assessing manufacturing flow lines under uncertainties in processing time : an application based on max-plus equations, multicriteria decisions, and global sensitivity analysis
Rocco, Claudio M.; Hernandez-Perdomo, Elvis; Mun, Johnathan - In: International journal of production economics 234 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012502835
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Parameter uncertainty and residual estimation risk
Bignozzi, Valeria; Tsanakas, Andreas - In: The journal of risk and insurance : the journal of the … 83 (2016) 4, pp. 949-978
Persistent link: https://www.econbiz.de/10011626687
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Quasi-Monte Carlo application in CGE systematic sensitivity analysis
Chatzivasileiadis, Theodoros - In: Applied economics letters 25 (2018) 21, pp. 1521-1526
Persistent link: https://www.econbiz.de/10012138045
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Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Pospíšil, Jan; Sobotka, Tomáš; Ziegler, Philipp - In: Empirical economics : a journal of the Institute for … 57 (2019) 6, pp. 1935-1958
Persistent link: https://www.econbiz.de/10012215941