//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"Portfolio-Management"
subject:"Stochastischer Prozess"
~isPartOf:"Insurance / Mathematics & economics"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Theory"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Portfolio-Management
Stochastischer Prozess
Theorie
992
Theory
992
Portfolio selection
277
Risk
258
Risiko
253
Risk model
179
Risikomodell
178
Risk measure
174
Risikomaß
173
Risk management
156
Risikomanagement
155
Stochastic process
153
Statistical distribution
138
Statistische Verteilung
138
Probability theory
117
Wahrscheinlichkeitsrechnung
117
Mortality
116
Sterblichkeit
116
Reinsurance
103
Rückversicherung
103
Measurement
100
Messung
100
Lebensversicherung
94
Life insurance
94
Multivariate Verteilung
67
Multivariate distribution
67
Altersvorsorge
58
Retirement provision
58
Insurance
53
Actuarial mathematics
51
Versicherungsmathematik
51
Versicherung
48
Forecasting model
46
Prognoseverfahren
46
Multivariate Analyse
42
Multivariate analysis
42
Pension fund
42
Pensionskasse
42
more ...
less ...
Online availability
All
Undetermined
215
Type of publication
All
Article
378
Type of publication (narrower categories)
All
Article in journal
378
Aufsatz in Zeitschrift
378
Mehrbändiges Werk
1
Multi-volume publication
1
Language
All
English
378
Author
All
Liang, Zongxia
11
Zeng, Yan
11
Li, Zhongfei
10
Young, Virginia R.
7
Mao, Tiantian
6
Tang, Qihe
6
Yao, Haixiang
6
Avanzi, Benjamin
5
Furman, Edward
5
Guan, Guohui
5
Li, Danping
5
Li, Xiaohu
5
Shen, Yang
5
Wang, Ruodu
5
Wong, Bernard
5
Wong, Hoi Ying
5
Zhuo, Jin
5
Cai, Jun
4
Chen, Ping
4
Chiu, Mei Choi
4
Dhaene, Jan
4
Hainaut, Donatien
4
Lai, Yongzeng
4
Landsman, Zinoviy
4
Li, Shuanming
4
Liang, Zhibin
4
Peng, Xingchun
4
Rüschendorf, Ludger
4
Siu, Tak Kuen
4
Trufin, Julien
4
Wei, Jiaqin
4
Yam, Sheung Chi Phillip
4
Yang, Hailiang
4
Zhao, Hui
4
Bayraktar, Erhan
3
Chi, Yichun
3
Cossette, Hélène
3
Denuit, Michel
3
Eisenberg, Julia
3
Gan, Guojun
3
more ...
less ...
Published in...
All
Insurance / Mathematics & economics
European journal of operational research : EJOR
666
NBER working paper series
269
Journal of banking & finance
255
Finance and stochastics
254
International journal of theoretical and applied finance
232
Working paper / National Bureau of Economic Research, Inc.
226
Journal of economic dynamics & control
223
NBER Working Paper
222
Mathematical finance : an international journal of mathematics, statistics and financial theory
215
Computers & operations research : and their applications to problems of world concern ; an international journal
179
Finance research letters
163
Operations research
149
Quantitative finance
147
Risks : open access journal
147
Operations research letters
140
Research paper series / Swiss Finance Institute
139
Journal of econometrics
133
Management science : journal of the Institute for Operations Research and the Management Sciences
130
Discussion paper / Tinbergen Institute
127
Economics letters
127
International journal of production research
127
The review of financial studies
120
Journal of economic theory
116
Economic modelling
115
Journal of empirical finance
109
Journal of financial economics
109
Discussion paper / Centre for Economic Policy Research
107
The journal of finance : the journal of the American Finance Association
107
Mathematical methods of operations research
101
Mathematics of operations research
101
Computational economics
100
The journal of portfolio management : a publication of Institutional Investor
99
SpringerLink / Bücher
98
Swiss Finance Institute Research Paper
96
The European journal of finance
89
International journal of production economics
85
Mathematics and financial economics
83
Journal of risk and financial management : JRFM
79
Working paper
79
more ...
less ...
Source
All
ECONIS (ZBW)
378
Showing
1
-
50
of
378
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Optimal investment, consumption and life insurance purchase with learning about return predictability
Peng, Xingchun
;
Li, Baihui
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 70-95
Persistent link: https://www.econbiz.de/10014466205
Saved in:
2
Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach
Li, Johnny Siu-Hang
;
Liu, Yanxin
;
Chan, Wai-Sum
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 96-121
Persistent link: https://www.econbiz.de/10014466206
Saved in:
3
Intergenerational sharing of unhedgeable inflation risk
Chen, Damiaan H. J.
;
Beetsma, Roel
;
Wijnbergen, Sweder van
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 140-160
Persistent link: https://www.econbiz.de/10014466209
Saved in:
4
Diversification quotients based on VaR and ES
Han, Xia
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 185-197
Persistent link: https://www.econbiz.de/10014466211
Saved in:
5
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning
;
Zhang, Yumo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
Saved in:
6
Optimal risk management with reinsurance and its counterparty risk hedging
Chi, Yichun
;
Hu, Tao
;
Huang, Yuxia
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 274-292
Persistent link: https://www.econbiz.de/10014466216
Saved in:
7
Two-phase selection of representative contracts for valuation of large variable annuity portfolios
Jiang, Ruihong
;
Saunders, David M.
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 293-309
Persistent link: https://www.econbiz.de/10014466217
Saved in:
8
The Cramér-Lundberg model with a fluctuating number of clients
Braunsteins, Peter
;
Mandjes, Michel
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014446650
Saved in:
9
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Denuit, Michel
;
Robert, Christian Yann
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 23-32
Persistent link: https://www.econbiz.de/10014446652
Saved in:
10
Optimal retirement savings over the life cycle : a deterministic analysis in closed form
Fischer, Marcel
;
Jensen, Bjarne Astrup
;
Koch, Marlene
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 48-58
Persistent link: https://www.econbiz.de/10014446721
Saved in:
11
Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
Liang, Xiaoqing
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 80-96
Persistent link: https://www.econbiz.de/10014446728
Saved in:
12
A note on portfolios of averages of lognormal variables
Boyle, Phelim P.
;
Jiang, Ruihong
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 97-109
Persistent link: https://www.econbiz.de/10014446731
Saved in:
13
Valuation of general GMWB annuities in a low interest rate environment
Fontana, Claudio
;
Rotondi, Francesco
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 142-167
Persistent link: https://www.econbiz.de/10014446751
Saved in:
14
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
Saved in:
15
Dependence modeling of frequency-severity of insurance claims using waiting time
Gao, Guangyuan
;
Li, Jiahong
- In:
Insurance / Mathematics & economics
109
(
2023
),
pp. 29-51
Persistent link: https://www.econbiz.de/10014282468
Saved in:
16
Pricing time-to-event contingent cash flows : a discrete-time survival analysis approach
Lautier, Jackson P.
;
Pozdnyakov, Vladimir
;
Yan, Jun
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 53-71
Persistent link: https://www.econbiz.de/10014282475
Saved in:
17
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
Mi, Hui
;
Xu, Zuo Quan
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 82-105
Persistent link: https://www.econbiz.de/10014282477
Saved in:
18
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
19
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
Saved in:
20
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás
;
Nedényi, Fanni K.
;
Sütő, László
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
Saved in:
21
Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao
;
Zou, Zhenfeng
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
Saved in:
22
A new stochastic dominance criterion for dependent random variables with applications
Belzunce, Félix
;
Martinez-Riquelme, Carolina
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 165-176
Persistent link: https://www.econbiz.de/10013534518
Saved in:
23
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
Saved in:
24
Portfolio risk analysis of excess of loss reinsurance
Tang, Qihe
;
Tong, Zhiwei
;
Xun, Li
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 91-110
Persistent link: https://www.econbiz.de/10013271962
Saved in:
25
Systemic risk : conditional distortion risk measures
Dhaene, Jan
;
Laeven, Roger J. A.
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
Saved in:
26
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
27
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
He, Lin
;
Liang, Zongxia
;
Song, Yilun
;
Qi, Ye
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 188-202
Persistent link: https://www.econbiz.de/10013271971
Saved in:
28
On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.
;
Mandjes, Michel
;
Spreij, P. J. C.
; …
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
Saved in:
29
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
Huang, Yiming
;
Mamon, Rogemar
;
Xiong, Heng
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 1-26
Persistent link: https://www.econbiz.de/10013198316
Saved in:
30
Decrease of capital guarantees in life insurance products : can reinsurance stop it?
Escobar, Marcos
;
Havrylenko, Yevhen
;
Kschonnek, Michel
; …
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 14-40
Persistent link: https://www.econbiz.de/10013348899
Saved in:
31
Similar risks have similar prices : a useful and exact quantification
Mildenhall, Stephen J.
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 203-210
Persistent link: https://www.econbiz.de/10013349010
Saved in:
32
Avoiding zero probability events when computing value at risk contributions
Koike, Takaaki
;
Saporito, Yuri
;
Targino, Rodrigo
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 173-192
Persistent link: https://www.econbiz.de/10013380509
Saved in:
33
Stochastic mortality dynamics driven by mixed fractional Brownian motion
Zhou, Hongjuan
;
Zhou, Kenneth Q.
;
Li, Xianping
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 218-238
Persistent link: https://www.econbiz.de/10013380522
Saved in:
34
Combining multi-asset and intrinsic risk measures
Laudagé, Christian
;
Sass, Jörn
;
Wenzel, Jörg
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 254-269
Persistent link: https://www.econbiz.de/10013380532
Saved in:
35
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
36
Asymptotic analysis of portfolio diversification
Cui, Hengxin
;
Tan, Ken Seng
;
Yang, Fan
;
Chen Zhou
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 302-325
Persistent link: https://www.econbiz.de/10013380569
Saved in:
37
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Cheung, Eric C. K.
;
Peralta, Oscar
;
Woo, Jae-Kyung
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 364-389
Persistent link: https://www.econbiz.de/10013380617
Saved in:
38
Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario
;
Jiang, Wenjun
;
Ren, Jiandong
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
Saved in:
39
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
40
Volterra mortality model : actuarial valuation and risk management with long-range dependence
Wang, Ling
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012482737
Saved in:
41
Economic neutral position : how to best replicate not fully replicable liabilities?
Kunz, Andreas
;
Popp, Markus
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 53-67
Persistent link: https://www.econbiz.de/10012482749
Saved in:
42
Transforming public pensions : a mixed scheme with a credit granted by the state
Boado-Penas, M. Carmen
;
Eisenberg, Julia
;
Korn, Ralf
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 140-152
Persistent link: https://www.econbiz.de/10012482791
Saved in:
43
Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward
;
Kye, Yisub
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
Saved in:
44
Stochastic orders and multivariate measures of risk contagion
Ortega-Jiménez, P.
;
Sordo, M. A.
;
Suárez-Llorens, A.
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 199-207
Persistent link: https://www.econbiz.de/10012482851
Saved in:
45
A hybrid deep learning method for optimal insurance strategies : algorithms and convergence analysis
Zhuo, Jin
;
Yang, Hailiang
;
Yin, George G.
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 262-275
Persistent link: https://www.econbiz.de/10012482892
Saved in:
46
Hawkes processes in insurance : risk model, application to empirical data and optimal investment
Sviščuk, Anatolij
;
Zagst, Rudi
;
Zeller, Gabriela
- In:
Insurance / Mathematics & economics
101
(
2021
)
1
,
pp. 107-124
Persistent link: https://www.econbiz.de/10012793913
Saved in:
47
Haezendonck-Goovaerts capital allocation rules
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 173-185
Persistent link: https://www.econbiz.de/10012793922
Saved in:
48
Optimal reinsurance under the α-maxmin mean-variance criterion
Zhang, Liming
;
Li, Bin
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 225-239
Persistent link: https://www.econbiz.de/10012793925
Saved in:
49
Moment generating function of non-Markov self-excited claims processes
Hainaut, Donatien
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 406-424
Persistent link: https://www.econbiz.de/10012793934
Saved in:
50
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
Saved in:
1
2
3
4
5
6
7
8
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->