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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
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Irreversible investment, ambiguity and equity default swaps
Tang, Xiaolin; Yang, Zhaojun - In: Applied economics letters 25 (2018) 18, pp. 1301-1305
Persistent link: https://www.econbiz.de/10012135390
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Fair valuation of insurance liability cash-flow streams in continuous time : theory
Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Insurance / Mathematics & economics 88 (2019), pp. 196-208
Persistent link: https://www.econbiz.de/10012105568
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Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
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Evaluating real estate development project with Monte Carlo based binomial options pricing model
Yeh, I.-Cheng; Lien, Che-Hui - In: Applied economics letters 27 (2020) 4, pp. 307-324
Persistent link: https://www.econbiz.de/10012205448
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Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
Yang, Chen; Sendova, Kristina P.; Li, Zhong - In: Insurance / Mathematics & economics 90 (2020), pp. 135-150
Persistent link: https://www.econbiz.de/10012169515
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A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
Cantia, Catalin; Tunaru, Radu - In: Insurance / Mathematics & economics 72 (2017), pp. 21-35
Persistent link: https://www.econbiz.de/10011691492
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Efficient option risk measurement with reduced model risk
Mitra, Sovan - In: Insurance / Mathematics & economics 72 (2017), pp. 163-174
Persistent link: https://www.econbiz.de/10011694422
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Sustainability of participation in collective pension schemes : an option pricing approach
Chen, Damiaan H. J.; Beetsma, Roel; Broeders, Dirk W. G. A. - In: Insurance / Mathematics & economics 74 (2017), pp. 182-196
Persistent link: https://www.econbiz.de/10011712469
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Efficient randomized quasi-Monte Carlo methods for portfolio market risk
Sak, Halis; Başoğlu, İsmail - In: Insurance / Mathematics & economics 76 (2017), pp. 87-94
Persistent link: https://www.econbiz.de/10011774777