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Risk management under incomplete information : exact upper and lower bounds for the probability to reach extreme values
De Schepper, Ann (contributor); Heijnen, Bart (contributor) - 2006
Persistent link: https://www.econbiz.de/10003388767
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Risk management under incomplete information : exact upper and lower bounds for the value at risk
De Schepper, Ann (contributor); Heijnen, Bart (contributor) - 2006
Persistent link: https://www.econbiz.de/10003388775
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On the pricing of options under limited information
De Schepper, Ann (contributor); Heijnen, Bart (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002089715
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Risk management under incomplete information: Exact upper and lower bounds for the probability to reach extreme values
DE SCHEPPER, Ann; HEIJNEN, Bart - Faculteit Toegepaste Economische Wetenschappen, … - 2006
A key problem in financial and actuarial research, and particularly in the field of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by fixing only a number of parameters instead...
Persistent link: https://www.econbiz.de/10005252257
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Risk management under incomplete information: Exact upper and lower bounds for the Value at Risk
DE SCHEPPER, Ann; HEIJNEN, Bart - Faculteit Toegepaste Economische Wetenschappen, … - 2006
A key problem in financial and actuarial research, and particularly in the field of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by fixing only a number of parameters instead...
Persistent link: https://www.econbiz.de/10005588083