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A recursive approach to mortality-linked derivative pricing
Shang, Zhaoning; Goovaerts, Marc J.; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-248
Persistent link: https://www.econbiz.de/10009242028
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Decision principles derived from risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302
Persistent link: https://www.econbiz.de/10008747061
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Fair dynamic valuation of insurance liabilities : a loss averse convex hedging approach
Chen, Ze; Chen, Bingzheng; Dhaene, Jan - In: Scandinavian actuarial journal 2020 (2020) 9, pp. 792-818
Persistent link: https://www.econbiz.de/10012313738
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Lévy processes in finance : pricing financial derivatives
Schoutens, Wim - 2003
Persistent link: https://www.econbiz.de/10001728004
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Lévy processes in credit risk
Schoutens, Wim; Cariboni, Jessica - 2009
Persistent link: https://www.econbiz.de/10003825519
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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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Pricing contingent convertibles : a derivatives approach
De Spiegeleer, Jan; Schoutens, Wim - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 27-36
Persistent link: https://www.econbiz.de/10009718109
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Basket option pricing and implied correlation in a Lévy copula model
Linders, Daniël; Schoutens, Wim - 2014
Persistent link: https://www.econbiz.de/10010422208
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Close form pricing formulas for Coupon Cancellable CoCos
Corcuera, José Manuel; De Spiegeleer, Jan; Barbachan, … - In: Journal of banking & finance 42 (2014), pp. 339-351
Persistent link: https://www.econbiz.de/10010408370
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Single name credit default swaptions meet single sided jump models
Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169
Persistent link: https://www.econbiz.de/10003829573