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Portfolio optimisation with jumps : illustration with a pension accumulation scheme

Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137

Persistent link: https://www.econbiz.de/10011544926

Approximate indifference pricing in exponential Lévy models

Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235

Persistent link: https://www.econbiz.de/10011704228

Guaranteed stop orders as portfolio insurance : an analysis for the German stock market

Leicht, Jonathan Josef; Rathgeber, Andreas W. - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 257-278

Persistent link: https://www.econbiz.de/10010462895

Consumption-investment optimization problem in a Lévy financial model with transaction costs and làdlàg strategies

Lepinette, E.; Tran, T. Q. - In: Mathematics and financial economics 14 (2020) 3, pp. 399-431

Persistent link: https://www.econbiz.de/10012240301

Parisian ruin with a threshold dividend strategy under the dual Lévy risk model

Yang, Chen; Sendova, Kristina P.; Li, Zhong - In: Insurance / Mathematics & economics 90 (2020), pp. 135-150

Persistent link: https://www.econbiz.de/10012169515

Actuarial geometry

Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44

The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of business growth on aggregate loss distributions. This...

Persistent link: https://www.econbiz.de/10011687307

Pricing European options and risk measurement under exponential Lévy models : a practical guide

Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36

Persistent link: https://www.econbiz.de/10011777826

Optimal asset allocation for a bank under risk control

Perera, Ryle S.; Sato, Kimitoshi - In: International journal of financial engineering 5 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011923030

Jointly estimating jump beats

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

An explicit option-based strategy that outperforms dollar cost averaging

Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10009624518