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Valuation of non-life liabilities from claims triangles

Lindholm, Mathias; Lindskog, Filip; Wahl, Felix - In: Risks : open access journal 5 (2017) 3, pp. 1-28

This paper provides a complete program for the valuation of aggregate non-life insurance liability cash flows based on claims triangle data. The valuation is fully consistent with the principle of valuation by considering the costs associated with a transfer of the liability to a so-called...

Persistent link: https://www.econbiz.de/10011688265

A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)

Witzany, Jiří; Fičura, Milan - 2023

Persistent link: https://www.econbiz.de/10014338462

Solution method and parameter estimation of uncertain partial differential equation with application to China's population

Yang, Lu; Liu, Yang - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 1, pp. 155-177

Persistent link: https://www.econbiz.de/10014500867

Uncertain energy model for electricity and gas futures with application in spark-spread option price

Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148

Persistent link: https://www.econbiz.de/10014227971

Foreign exchange option pricing in the currency cycle with jump risks

Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789

Persistent link: https://www.econbiz.de/10011333144

Pricing annuity guarantees under a double regime-switching model

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011312087

Pricing bond options under a Markovian regime-switching Hull-White model

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940

Persistent link: https://www.econbiz.de/10009710001

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10010227881

Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143

Persistent link: https://www.econbiz.de/10011526900

Pricing foreign equity options with regime-switching

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 37 (2014), pp. 296-305

Persistent link: https://www.econbiz.de/10010417689