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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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On the order form of the fundamental theorems of asset pricing
Kountzakis, Christos E. - In: Journal of mathematical finance 4 (2014) 4, pp. 221-233
Persistent link: https://www.econbiz.de/10011312424
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Interest rate risk management and dynamic portfolio selections
Sun, Hang; Sun, Wan Gui - In: Modern economy 2 (2011) 4, pp. 674-679
Persistent link: https://www.econbiz.de/10009620650
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Consumption inequality and discount rate heterogeneity
Sun, Gang - 2013
Persistent link: https://www.econbiz.de/10010241554
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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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Uninsurable risk and the determination of real interest rates : an investigation using UK indexed bonds
Barr, David G.; Basu, Parantap; Wada, Kenji - 2012
Persistent link: https://www.econbiz.de/10010465991
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Utility indifference pricing : a time consistent approach
Pirvu, Traian A.; Zhang, Huayue - In: Applied mathematical finance 20 (2013) 3/4, pp. 304-326
Persistent link: https://www.econbiz.de/10010187662
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Insiders' hedging in a stochastic volatility model
Park, Sang-Hyeon; Lee, Kiseop - In: IMA journal of management mathematics 27 (2016) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011567200
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Benchmarked risk minimization
Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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Robust hedging in incomplete markets
Shen, Sally; Pelsser, Antoon André Jean; Schotman, Peter C. - In: Journal of pension economics and finance 18 (2019) 3, pp. 473-493
Persistent link: https://www.econbiz.de/10012107932