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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance 56 (2014), pp. 80-87
Persistent link: https://www.econbiz.de/10010385027
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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Li, Jinzhu - In: Insurance 71 (2016), pp. 195-204
Persistent link: https://www.econbiz.de/10011630650
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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
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Optimal portfolio selection with maximal risk adjusted return
Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040
Persistent link: https://www.econbiz.de/10011716547
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Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632
Persistent link: https://www.econbiz.de/10011923011
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How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation
Nakamura, Kazuki - In: Finance research letters 58 (2023) 4, pp. 1-5
Persistent link: https://www.econbiz.de/10014633349
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Funded and unfunded pension schemes : risk, return and welfare
Miles, David - 2000
funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different …
Persistent link: https://www.econbiz.de/10009781509
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Effect of risk on the financial performance of Nepalese insurance companies
Nath, Ramesh; Pradham, Radhe Shyam - In: Nepalese journal of finance : a publication of Uniglobe … 10 (2023) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10014495043
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A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance 81 (2018), pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
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Dependency between risks and the insurer's economic capital : a copula-based GARCH model
Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011671161