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Stochastic theory of a risk business
Seal, Hilary L. - 1969
Persistent link: https://www.econbiz.de/10000032793
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Markov-modulated, multi-threshold dual risk model
Shija, G.; Jacob, M. J. - In: International journal of computational economics and … 5 (2015) 2, pp. 183-198
Persistent link: https://www.econbiz.de/10011342896
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670
Persistent link: https://www.econbiz.de/10010227909
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009785429
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Properties of a risk measure derived from the expected area in red
Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199
Persistent link: https://www.econbiz.de/10010366178
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In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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Discounting almost implies risk neutrality
Sobel, Matthew J. - 1998
Persistent link: https://www.econbiz.de/10000981122
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Risikoanalyse unter Berücksichtigung stochastischer Abhängigkeiten
Henking, Andreas - 1998
Persistent link: https://www.econbiz.de/10000984363
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Risk Analysis Probability of Default : A Stochastic Simulation Model
Montesi, Giuseppe - 2015
We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the...
Persistent link: https://www.econbiz.de/10013023044