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Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
Orozco-Garcia, Carolina; Schmeiser, Hato - In: Insurance / Mathematics & economics 65 (2015), pp. 77-93
Persistent link: https://www.econbiz.de/10011422877
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The Hull-White model under volatility uncertainty
Hölzermann, Julian - In: Quantitative finance 21 (2021) 11, pp. 1921-1933
Persistent link: https://www.econbiz.de/10012696796
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Term structure modeling under volatility uncertainty : a forward rate model driven by G-Brownian Motion
Hölzermann, Julian; Lin, Qian - 2019
We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G …
Persistent link: https://www.econbiz.de/10012009895
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Do central bank actions reduce interest rate volatility?
Marins, Jaqueline Terra Moura; Vicente, José Valentim … - 2017
Persistent link: https://www.econbiz.de/10011944956
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Do the central bank actions reduce interest rate volatility?
Marins, Jaqueline Terra Moura; Vicente, José Valentim … - In: Economic modelling 65 (2017), pp. 129-137
Persistent link: https://www.econbiz.de/10011813619
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Real option valuation in a Gollier/Weitzman world : the effect of long-run discount rate uncertainty
Tandja M., Djerry C.; Power, Gabriel J.; Bastien, Josée - In: The energy journal 39 (2018) 5, pp. 21-53
Persistent link: https://www.econbiz.de/10011903842
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Mean-reverting stock model with floating interest rate in uncertain environment
Sun, Yiyao; Su, Taoyong - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 2, pp. 235-255
Persistent link: https://www.econbiz.de/10011805601