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Bounds for concave distortion risk measures for sums of risks
Campana, Antonella; Ferretti, Paola - In: Mathematical and statistical methods in insurance and …, (pp. 43-51). 2008
Persistent link: https://www.econbiz.de/10003837114
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On a class of law invariant convex risk measures
Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363
Persistent link: https://www.econbiz.de/10009159083
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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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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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Law invariant convex risk measures
Frittelli, Marco; Rosazza Gianin, Emanuela - In: Advances in mathematical economics 7 (2005), pp. 33-46
Persistent link: https://www.econbiz.de/10002904244
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Satisfying convex risk limits by trading
Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; … - In: Finance and stochastics 9 (2005) 2, pp. 177-195
Persistent link: https://www.econbiz.de/10002747136
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Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits
Feng, Runhuan - 2012
we propose alternative analytical methods for the calculation of risk measures for variable annuity guaranteed benefits … and its integral. Another novelty of the paper is to propose a quantitative model which assesses both market risk on the … liability side and revenue risk on the asset side in the same framework from the viewpoint of risk management. As we demonstrate …
Persistent link: https://www.econbiz.de/10013099988
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From regulatory life tables to stochastic mortality projections : the exponential decline model
Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 71 (2016), pp. 295-303
Persistent link: https://www.econbiz.de/10011630848
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Credible risk measures with applications in actuarial sciences and finance
Pitselis, Georgios - In: Insurance / Mathematics & economics 70 (2016), pp. 373-386
Persistent link: https://www.econbiz.de/10011597330
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Dynamic risk measures for processes via backward stochastic differential equations
Ji, Ronglin; Shi, Xuejun; Wang, Shijie; Zhou, Jinming - In: Insurance / Mathematics & economics 86 (2019), pp. 43-50
Persistent link: https://www.econbiz.de/10012058682