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Asset and liability management for banks and insurance companies

Habart-Corlosquet, Marine; Janssen, Jacques; Manca, Raimondo - 2015

This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to...

Persistent link: https://www.econbiz.de/10011375576

Non-homogeneous time convolutions, renewal processes and age-dependent mean number of motorcar accidents

Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 36-57

Persistent link: https://www.econbiz.de/10011299200

A duration dependent rating migration model : real data application and cost of capital estimation

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Finance a úvěr 64 (2014) 3, pp. 233-245

Persistent link: https://www.econbiz.de/10010373383

Downward migration credit risk problem : a non-homogeneous backward semi-Markov reliability approach

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Journal of the Operational Research Society : OR 67 (2016) 3, pp. 393-401

Persistent link: https://www.econbiz.de/10011489555

VaR methodology for non-Gaussian finance

Habart-Corlosquet, Marine; Janssen, Jacques; Manca, Raimondo - 2013

Persistent link: https://www.econbiz.de/10011386702

Homogeneous semi-Markov reliability models for credit risk management

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Decisions in economics and finance : DEF ; a journal of … 28 (2005) 2, pp. 79-93

Persistent link: https://www.econbiz.de/10003231302

Semi-markov migration models for credit risk

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - 2017

Persistent link: https://www.econbiz.de/10011660584

Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions

Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Computational Economics 38 (2011) 4, pp. 465-481

Persistent link: https://www.econbiz.de/10009401756

The construction of the claims reserve distribution by means of a semi-Markov backward simulation model

Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo - In: Annals of actuarial science : publ. by the Institute of … 6 (2012) 1, pp. 23-64

Persistent link: https://www.econbiz.de/10009884628

Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Computational Economics 29 (2007) 2, pp. 119-138

Persistent link: https://www.econbiz.de/10005674192