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Assessment of financial risk in the design and scheduling of multipurpose plants under demand uncertainty

Vieira, Miguel; Paulo, Helena; Pinto-Varela, Tânia; … - In: International journal of production research 59 (2021) 20, pp. 6125-6145

Persistent link: https://www.econbiz.de/10012652703

Sharing of longevity basis risk in pension schemes with income-drawdown guarantees

Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020

Persistent link: https://www.econbiz.de/10012661294

On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment

Lefevre, Claude; Loisel, Stéphane; Montesinos, Pierre - In: Scandinavian actuarial journal 2021 (2021) 6, pp. 476-504

Persistent link: https://www.econbiz.de/10012588355

Mean-reverting 4/2 principal components model : financial applications

Escobar, Marcos; Gong, Zhenxian - In: Risks : open access journal 9 (2021) 8, pp. 1-23

In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find a quasi closed-form characteristic function and...

Persistent link: https://www.econbiz.de/10012612366

Systemic risk : conditional distortion risk measures

Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145

Persistent link: https://www.econbiz.de/10013271967

The family of alpha, [a,b] stochastic orders : risk vs. expected value

Light, Bar; Perlroth, Andres - In: Journal of mathematical economics 96 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013273530

Stochastic seasonality in commodity prices : the case of US natural gas

Chen, Sheng-Hung; Song Zan Chiou Wei; Zhu, Zhen - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2263-2284

Persistent link: https://www.econbiz.de/10013197300

An almost robust model for minimizing disruption exposures in supply systems

Zhao, Kena; Ng, Tsan Sheng Adam; Tan, Chin Hon; Pang, … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 547-559

Persistent link: https://www.econbiz.de/10013205967

Almost Stochastic Dominance for Risk Averters and Risk Seekers

Guo, Xu - 2015

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD …. Recently, Tsetlin, et al. (2015) develop the theory of generalized almost stochastic dominance (GASD). We then briefly discuss …

Persistent link: https://www.econbiz.de/10013032513

Portfolio optimization under CV@R constraint with stochastic mirror descent

Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022

Persistent link: https://www.econbiz.de/10013263291