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~accessRights:"restricted"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatility"
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Monte-Carlo-Simulation
Volatility
Bayes-Statistik
44
Bayesian inference
44
Theorie
37
Theory
37
Monte Carlo simulation
27
Estimation
14
Schätzung
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12
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Avanzi, Benjamin
2
Chen, Jun-Home
2
Kim, Geonwoo
2
Lian, Yu-Min
2
Liao, Szu-Lang
2
Wong, Bernard
2
Yang, Xinda
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Alfonsi, Aurélien
1
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Insurance / Mathematics & economics
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
50
Computational economics
46
European journal of operational research : EJOR
46
Quantitative finance
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
39
Econometric reviews
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Journal of applied econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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9
Oxford bulletin of economics and statistics
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Journal of the Operational Research Society
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Computers & operations research : and their applications to problems of world concern ; an international journal
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ECONIS (ZBW)
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1
Optimal reinsurance-investment game for two insurers with SAHARA utilities under correlated markets
Chen, Dengsheng
;
Lu, Zhengyang
;
He, Yong
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014485260
Saved in:
2
Multilevel Monte-
Carlo
for computing the SCR with the standard formula and other stress tests
Alfonsi, Aurélien
;
Cherchali, Adel
;
Infante, Arturo
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 234-260
Persistent link: https://www.econbiz.de/10012622391
Saved in:
3
Approximate Bayesian Computations to fit and compare insurance loss models
Goffard, Pierre-Olivier
;
Laub, Patrick J.
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 350-371
Persistent link: https://www.econbiz.de/10012622398
Saved in:
4
Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun
;
Kim, Geonwoo
;
Yoon, Ji-Hun
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
Saved in:
5
Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes
Chen, Jun-Home
;
Lian, Yu-Min
;
Liao, Szu-Lang
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013449359
Saved in:
6
Option pricing with the control variate technique beyond Monte
Carlo
simulation
Chiu, Chun-Yuan
;
Dai, Tian-Shyr
;
Lyuu, Yuh-dauh
;
Liu, …
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013539074
Saved in:
7
Sample recycling method : a new approach to efficient nested Monte
Carlo
simulations
Fang, Runhuan
;
Li, Peng
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
Saved in:
8
Valuation of callable accreting interest rate swaps : least squares Monte-
Carlo
method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
9
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
Avanzi, Benjamin
;
Taylor, Greg
;
Wong, Bernard
;
Yang, Xinda
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012649204
Saved in:
10
Tests for Laplace order dominance with applications to insurance data
Bhattacharyya, Dhrubasish
;
Khan, Ruhul Ali
;
Mitra, Murari
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 163-173
Persistent link: https://www.econbiz.de/10012649215
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