Similar Search Results

Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

Persistent link: https://www.econbiz.de/10011687307

Aspects of optimization with stochastic dominance

Haskell, William B.; Shanthikumar, J. George; Shen, Zuo-Jun - 2017

Persistent link: https://www.econbiz.de/10011669242

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …

Persistent link: https://www.econbiz.de/10011772356

Risk management of energy system for identifying optimal power mix with financial-cost minimization and environmental-impact mitigation under uncertainty

Nie, S.; Li, Y. P.; Liu, J.; Huang, Charley Z. - In: Energy economics 61 (2017), pp. 313-329

Persistent link: https://www.econbiz.de/10011737833

Debt portfolio management for an oil company under oil price uncertainty

Korotin, Vladimir; Ulchenkov, Arseniy; Islamov, Rustam - In: Computational economics 49 (2017) 2, pp. 289-306

Persistent link: https://www.econbiz.de/10011757594

Differentiability of BSVIEs and dynamic capital allocations

Kromer, Eduard; Overbeck, Ludger - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011763938

Stochastic dominance and the omega ratio

Fong, Wai-mun - In: Finance research letters 17 (2016), pp. 7-9

Persistent link: https://www.econbiz.de/10011596196

Decomposability and time consistency of risk averse multistage programs

Shapiro, Alexander; Ugurlu, K. - In: Operations research letters 44 (2016) 5, pp. 663-665

Persistent link: https://www.econbiz.de/10011596625

Risk reducers in convex order

He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88

Persistent link: https://www.econbiz.de/10011597183

Multidimensional dynamic risk measure via conditional g-expectation

Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673

Persistent link: https://www.econbiz.de/10011583787