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About the impact of model risk on capital reserves : a quantitative analysis
Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - 2011
This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...
Persistent link: https://www.econbiz.de/10008909530
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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295
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A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds
Wang, Zihe; Li, Johnny Siu-Hang - In: Finance research letters 16 (2016), pp. 103-111
Persistent link: https://www.econbiz.de/10011655135
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Quantitative corporate finance
Guerard, John Baynard; Saxena, Anureet; Gültekin, … - 2021 - Second edition
and the Cost of Funds -- Chapter 11. Investing in Assets: Theory of Investment Decision Making -- Chapter 12. Regression …
Persistent link: https://www.econbiz.de/10012203303
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Stochastic mortality model with respect to mixed fractional Poisson process : calibration and empirical analysis of long-range dependence in actuarial valuation
Jiang, Haoran; Zhang, Zhehao; Zhu, Xiaojun - In: Insurance : mathematics and economics 119 (2024), pp. 64-92
Persistent link: https://www.econbiz.de/10015067206
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The broken window : fallacy or fact ; a Kaleckian-Post Keynesian approach
Chaiechi, Taha - In: Economic modelling 39 (2014), pp. 195-203
Persistent link: https://www.econbiz.de/10010421859
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Extreme inflation and time-varying expected consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2022 - This version: January 3, 2022
alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …
Persistent link: https://www.econbiz.de/10012797771
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Insurance and operational risk
Thirlwell, John - In: The Basel handbook : a guide for financial practitioners, (pp. 467-490). 2005
Persistent link: https://www.econbiz.de/10003287298
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Insurability of cyber risk : an empirical analysis
Biener, Christian; Eling, Martin; Wirfs, Jan Hendrik - In: The Geneva papers on risk and insurance - issues and … 40 (2015) 1, pp. 131-158
Persistent link: https://www.econbiz.de/10011280095
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Common risk factors of infrastructure investments
Ben Ammar, Semir; Eling, Martin - In: Essays on alternative investments and insurance, (pp. 1-51). 2016
Die vorliegende Dissertation besteht aus vier Teilen, die sich mit den Themen Alternative Investments, Katastrophenrisiko und Asset Pricing im Versicherungskontext auseinandersetzen. Mithilfe verschiedener Finanzinstrumente (Aktien, Fonds und Optionen) wird die Bilanz eines...
Persistent link: https://www.econbiz.de/10011540177