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Static and dynamic risk capital allocations with the Euler rule

Boonen, Tim J. - In: Journal of risk 22 (2019) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013177092

Equilibrium recoveries in insurance markets with limited liability

Boonen, Tim J. - In: Journal of mathematical economics 85 (2019), pp. 38-45

Persistent link: https://www.econbiz.de/10012311016

T-value for risk capital allocation problems

Boonen, Tim J. - In: Operations research letters 48 (2020) 6, pp. 752-757

Persistent link: https://www.econbiz.de/10012430112

Dynamic risk management of the lending rate policy of an interacted portfolio of loans via an investment strategy into a discrete stochastic framework

Pantelous, Athanasios A. - In: Economic modelling 25 (2008) 4, pp. 658-675

Persistent link: https://www.econbiz.de/10003791242

Let's get LADE: Robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...

Persistent link: https://www.econbiz.de/10010318677