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Existence of optimal consumption strategies in markets with longevity risk

Kort, Jan de; Vellekoop, Michel - In: Insurance / Mathematics & economics 72 (2017), pp. 107-121

Persistent link: https://www.econbiz.de/10011694393

Modeling liquidation risk with occupation times

Makarov, Roman - In: International journal of financial engineering 3 (2016) 4, pp. 1-11

Persistent link: https://www.econbiz.de/10011673091

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10011987591

Aggregation of dependent risks in mixtures of exponential distributions and extensions

Sarabia Alzaga, José Maria; Gómez-Déniz, Emilio; … - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 1079-1107

Persistent link: https://www.econbiz.de/10011999867

The dependence of the incremental risk rate of interest on absolute risk aversion : applying the Laplace transform to risk preference evaluation

Grubbström, Robert W. - In: International journal of production economics 212 (2019), pp. 51-59

Persistent link: https://www.econbiz.de/10012036185

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu - In: European journal of operational research : EJOR 266 (2018) 3, pp. 1134-1139

Persistent link: https://www.econbiz.de/10011812242

Numerical ruin probability in the dual risk model with risk-free investments

Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated...

Persistent link: https://www.econbiz.de/10011906144

A note on some preservation results on the Laplace transform ordering of residual lives

Zamani, Zohreh; Mohtashami Borzadaran, G. R.; Dehak, … - In: Risk and decision analysis 6 (2017) 3, pp. 225-229

Persistent link: https://www.econbiz.de/10011925089

Risk preference evaluation : a fourth dimension of the application of the Laplace transform

Grubbström, Robert W. - In: International journal of production research 56 (2018) 1/2, pp. 344-373

Persistent link: https://www.econbiz.de/10011876450

Fluctuation identities with continuous monitoring and their application to the pricing of barrier options

Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: European journal of operational research : EJOR 271 (2018) 1, pp. 210-223

Persistent link: https://www.econbiz.de/10011882800