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Three essays on information and incentives
Bierbaum, Jürgen - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001749188
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Port security/safety, risk analysis, and modeling
Altiok, Tayfur (contributor) - 2011
Persistent link: https://www.econbiz.de/10009273075
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520642
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Evaluation of counterparty credit risk under netting agreements
Breton, Michèle; Tavasoli, Ahmadreza - 2023
Persistent link: https://www.econbiz.de/10014383826
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Optimal stress tests and liquidation cost
Gu, Jiadong - In: Journal of economic dynamics & control 146 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014478165
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Red-blooded risk : the secret history of Wall Street
Brown, Aaron - 2012
Persistent link: https://www.econbiz.de/10009427753
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Evolutionary behaviors regarding pricing and payment-convenience strategies with uncertain risk
Johari, Maryam; Hosseini-Motlagh, Seyyed-Mahdi - In: European journal of operational research : EJOR 297 (2022) 2, pp. 600-614
Persistent link: https://www.econbiz.de/10013259797
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Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
Yang, Yang; Wang, Guojing; Yao, Jing - In: Insurance : mathematics and economics 114 (2024), pp. 79-107
Persistent link: https://www.econbiz.de/10015049368
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
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Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641
Persistent link: https://www.econbiz.de/10012500976