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Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10003905569

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - 2009

Persistent link: https://www.econbiz.de/10003924289

On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model

Krätschmer, Volker (contributor) - 2007

Persistent link: https://www.econbiz.de/10003422987

Robust representation of convex risk measures by probability measures

Krätschmer, Volker - In: Finance and stochastics 9 (2005) 4, pp. 597-608

Persistent link: https://www.econbiz.de/10003133313

On sigma-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model

Krätschmer, Volker - 2007

Persistent link: https://www.econbiz.de/10004879520

The uniqueness of extremum estimation

Krätschmer, Volker - 2006

Persistent link: https://www.econbiz.de/10004880916

On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model

Krätschmer, Volker - 2007

Persistent link: https://www.econbiz.de/10010263678

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Krätschmer, Volker; Zähle, Henryk - 2010

A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...

Persistent link: https://www.econbiz.de/10010270712

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John G. M. - 2009

Persistent link: https://www.econbiz.de/10010276719