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Factor risk quantification in annuity models

Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew - In: Insurance / Mathematics & economics 58 (2014), pp. 34-45

Persistent link: https://www.econbiz.de/10010437638

A representation of risk measures

Amarante, Massimiliano - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 95-103

Persistent link: https://www.econbiz.de/10011451666

On the use of long-term risk measures as an approach to communicating risks

Ren, Jiandong - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 45-55

Persistent link: https://www.econbiz.de/10011410501

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430

Persistent link: https://www.econbiz.de/10011291285

Risk-averse regret minimization in multi-stage stochastic programs

Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - 2021

Persistent link: https://www.econbiz.de/10012939439

Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty

Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202

Persistent link: https://www.econbiz.de/10012820155

Quantification of risk in classical models of finance

Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10012872493

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

The risk-asymmetry index as a new measure of risk

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Multinational finance journal 22 (2018) 3/4, pp. 173-210

Persistent link: https://www.econbiz.de/10012547710