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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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Optimal investment for insurers when the stock price follows an exponential Lévy process
Kostadinova, Radostina Ilieva - In: Insurance / Mathematics & economics 41 (2007) 2, pp. 250-263
Persistent link: https://www.econbiz.de/10003755644
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An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
Koch, Inge; De Schepper, Ann - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 386-402
Persistent link: https://www.econbiz.de/10003755755
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On the penalty function and on continuity properties of risk measures
Frittelli, Marco; Rosazza Gianin, Emanuela - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 163-185
Persistent link: https://www.econbiz.de/10008908375
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On the distribution tail of an integrated risk model : a numerical approach
Brokate, M.; Klüppelberg, C.; Kostadinova, R.; Maller, R. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 101-106
Persistent link: https://www.econbiz.de/10003681676
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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Modeling of financial crises : a critical analysis of models leading to the global financial crisis
Tularam, Gurudeo Anand; Subramanian, Bhuvaneswari - In: Global journal of business research : GJBR 7 (2013) 3, pp. 101-124
Persistent link: https://www.econbiz.de/10009678777
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Analytical calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 636-648
Persistent link: https://www.econbiz.de/10009683199
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Der Value-at-Risk auf Basis der Extremwerttheorie
Hakenes, Hendrik; Wilkens, Sascha - In: Finanz-Betrieb : FB ; Zeitschrift für … 5 (2003) 12, pp. 821-829
Persistent link: https://www.econbiz.de/10001872411