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The transmission channels of government spending uncertainty

Anna, Beliansk; Eyquem, Aurélien; Poilly, Céline - 2021

Persistent link: https://www.econbiz.de/10012490506

Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index

Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10012432624

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

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

Asymptotics of multivariate conditional risk measures for Gaussian risks

Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215

Persistent link: https://www.econbiz.de/10012058863

Stochastic ordering of Gini indexes for multivariate elliptical risks

Kim, Bara; Kim, Jeongsim - In: Insurance / Mathematics & economics 88 (2019), pp. 151-158

Persistent link: https://www.econbiz.de/10012105530

Multivariate continuous-time modeling of wind indexes and hedging of wind risk

Benth, Fred Espen; Christensen, Troels Sønderby; … - In: Quantitative finance 21 (2021) 1, pp. 165-183

Persistent link: https://www.econbiz.de/10012424641

Semi-Markov risk models for finance, insurance and reliability

Janssen, Jacques; Manca, Raimondo - 2007

Persistent link: https://www.econbiz.de/10003408642

A PDE approach for risk measures for derivatives with regime switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10003589415

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634