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Numerical ruin probability in the dual risk model with risk-free investments
Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …
Persistent link: https://www.econbiz.de/10011906144
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Independence, additivity, uncertainty
Vind, Karl - 2003
Persistent link: https://www.econbiz.de/10013391464
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Econometrie van financie͏̈le markten : de bepaling van het risicoprofiel van beleggingen
Nijman, Theodore E.; Jong, Frank de - 1997
Persistent link: https://www.econbiz.de/10000962833
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Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
Tan, Jiyang; Li, Chun; Li, Ziqiang; Xiangqun, Yang; … - In: Mathematical methods of operations research 82 (2015) 1, pp. 61-83
Persistent link: https://www.econbiz.de/10011308397
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Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
Konstantinides, Dimitrios G.; Li, Jinzhu - In: Insurance / Mathematics & economics 69 (2016), pp. 38-44
Persistent link: https://www.econbiz.de/10011530921
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Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
Owadally, Iqbal; Jang, Chul; Clare, Andrew D. - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1132-1146
Persistent link: https://www.econbiz.de/10012622446
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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 / Mathematics & economics 71 (2016), pp. 195-204
Persistent link: https://www.econbiz.de/10011630650
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Optimal dividends in the dual risk model under a stochastic interest rate
Cheng, Zailei - In: International journal of financial engineering 4 (2017) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10011673118
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …
Persistent link: https://www.econbiz.de/10011867378
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A general framework for portfolio theory : part II: drawdown risk measures
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 3, pp. 1-31
The aim of this paper is to provide several examples of convex risk measures necessary for the application of the … general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to … classical portfolio risk measures such as the standard deviation, we, in particular, construct risk measures related to the …
Persistent link: https://www.econbiz.de/10011890765