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Sequential Quasi-Credibility for Scale Dispersion Models

Landsman, Zinoviy; Landsman, Zinoviy - In: Scandinavian actuarial journal : Actuarial Society of … (2003) 2, pp. 119-135

Persistent link: https://www.econbiz.de/10005929933

On the Tail Mean-Variance optimal portfolio selection

Landsman, Zinoviy - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 547-553

Persistent link: https://www.econbiz.de/10003981151

A generalized measure for the optimal portfolio selection problem and its explicit solution

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Risks 6 (2018) 1, pp. 1-15

In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an explicit solution to the problem of optimal...

Persistent link: https://www.econbiz.de/10011996577

Multivariate Tweedie distributions and some related capital-at-risk analyses

Furman, Edward; Landsman, Zinoviy - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 351-361

Persistent link: https://www.econbiz.de/10003966598

Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

Landsman, Zinoviy; Makov, Udi - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 94-98

Persistent link: https://www.econbiz.de/10009501696

A multivariate Tweedie lifetime model : censoring and truncation

Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael - In: Insurance / Mathematics & economics 64 (2015), pp. 203-213

Persistent link: https://www.econbiz.de/10011398009

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186

Persistent link: https://www.econbiz.de/10011428649

Lifetime dependence modelling using a truncated multivariate gamma distribution

Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 542-549

Persistent link: https://www.econbiz.de/10009763590

Tail variance premiums for log-elliptical distributions

Landsman, Zinoviy; Pat, Nika; Dhaene, Jan - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 441-447

Persistent link: https://www.econbiz.de/10009763631