Narrow search
Showing 1 - 10 of 403
Cover Image
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
Cover Image
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Palmowski, Z.; Budhi Arta Surya - In: Insurance / Mathematics & economics 93 (2020), pp. 168-177
Persistent link: https://www.econbiz.de/10012294093
Cover Image
Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Hao, Xuemiao; Li, Xuan - In: Insurance / Mathematics & economics 65 (2015), pp. 103-110
Persistent link: https://www.econbiz.de/10011422882
Cover Image
Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
Hao, Xuemiao; Li, Xuan; Shimizu, Yasutaka - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 14-23
Persistent link: https://www.econbiz.de/10009785428
Cover Image
Conditional copula simulation for systemic risk stress testing
Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 722-732
Persistent link: https://www.econbiz.de/10010227893
Cover Image
COVID-19 and credit risk : a long memory perspective
Yin, Jie; Han, Bingyan; Wong, Hoi Ying - In: Insurance / Mathematics & economics 104 (2022), pp. 15-34
Persistent link: https://www.econbiz.de/10013264931
Cover Image
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 6-20
Persistent link: https://www.econbiz.de/10011691490
Cover Image
A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
Cheung, Eric C. K. - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 384-397
Persistent link: https://www.econbiz.de/10008989288
Cover Image
Longevity bond premiums : the extreme value approach and risk cubic pricing
Chen, Hua; Cummins, John David - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 150-161
Persistent link: https://www.econbiz.de/10003953327
Cover Image
Robust LMI stability, stabilization and H∞ control for premium pricing models with uncertainties into a stochastic discrete-time framework
Pantelous, Athanasios A.; Yang, Lin - In: Insurance / Mathematics & economics 59 (2014), pp. 133-143
Persistent link: https://www.econbiz.de/10010469163