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Year of publication
Subject
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Theorie 53 Theory 53 Risk 34 Risiko 31 Portfolio selection 25 Risk measure 25 Risk management 21 Portfolio-Management 20 Risikomaß 20 Risk model 20 Longevity risk 18 Risikomodell 18 Ruin probability 17 Life insurance 16 Risikomanagement 16 Risk measures 16 Stochastic process 16 Stochastischer Prozess 16 Copula 15 Mortality 15 Insurance 14 Measurement 14 Messung 14 Reinsurance 14 Comonotonicity 12 Sterblichkeit 12 Value-at-Risk 12 Dependence 11 Optimal reinsurance 11 Capital allocation 10 Hamilton–Jacobi–Bellman equation 10 IM10 10 Lebensversicherung 10 Correlation 9 HJB equation 9 Lévy process 9 Private Altersvorsorge 9 Private retirement provision 9 Regime switching 9 Value at risk 9
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Undetermined 2,036 Free 39
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Article 3,878 Book / Working Paper 13
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Article in journal 75 Aufsatz in Zeitschrift 75
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Undetermined 3,807 English 84
Author
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Haberman, Steven 52 Willmot, Gordon E. 49 Young, Virginia R. 49 Gerber, Hans U. 48 Denuit, Michel 46 Dhaene, Jan 41 Goovaerts, M. J. 41 Haberman, S. 41 Yang, Hailiang 40 Cheung, Ka Chun 38 Kaas, R. 34 De Vylder, F. 30 Landriault, David 29 Tang, Qihe 29 Goovaerts, Marc J. 28 Kaas, Rob 28 Siu, Tak Kuen 28 Goovaerts, M. 26 Hu, Taizhong 26 Dhaene, J. 25 Goovaerts, Marc 25 Landsman, Zinoviy 25 Sherris, Michael 25 Cai, Jun 24 Laeven, Roger J.A. 24 Cossette, Hélène 23 Marceau, Etienne 23 Albrecher, Hansjörg 22 Guillén, Montserrat 22 Frostig, Esther 21 Jones, Bruce L. 21 Wang, Guojing 21 De Waegenaere, Anja 20 Hashorva, Enkelejd 20 Valdez, Emiliano A. 20 Li, Zhongfei 19 Liang, Zongxia 19 Shapiro, Arnold F. 19 Blake, David 18 Cairns, Andrew J.G. 18
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Insurance: Mathematics and Economics 1,995 Insurance / Mathematics & economics 1,815 Insurance : mathematics and economics 75 Insurance: Mathematics and Economics, Forthcoming 3 Insurance: Mathematics and Economics, 2009 1 Insurance: Mathematics and Economics, S. 215-228, 2000 1 Internationale Aktuarvereinigung - Veröffentlichungen 1 The final version of this article appeared as: Tsanakas A. (2004), ''Dynamic risk capital allocation with distortion measures'', Insurance: Mathematics and Economics, 35(2), p.223-243 1 Universität Karlsruhe - Lehrstuhl für Versicherungswissenschaft - Publikationen 1
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RePEc 1,988 OLC EcoSci 1,815 ECONIS (ZBW) 86 USB Cologne (business full texts) 2
Showing 101 - 110 of 3,891
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Extended Gerber–Shiu functions in a risk model with interest
Schmidli, Hanspeter - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 271-275
We consider a compound Poisson risk model with interest. The Gerber–Shiu discounted penalty function is modified with an additional penalty for reaching a level above the initial capital. We show that the problem can be split into two independent problems; an original Gerber–Shiu function...
Persistent link: https://www.econbiz.de/10011263852
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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 206-226
In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...
Persistent link: https://www.econbiz.de/10011263853
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Evaluation and default time for companies with uncertain cash flows
Hainaut, Donatien - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 276-285
In this study, we propose a modelling framework for evaluating companies financed by random liabilities, such as insurance companies or commercial banks. In this approach, earnings and costs are driven by double exponential jump–diffusion processes and bankruptcy is declared when the income...
Persistent link: https://www.econbiz.de/10011263854
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A hierarchical copula-based world-wide valuation of sovereign risk
Bernardi, Enrico; Falangi, Federico; Romagnoli, Silvia - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 155-169
We propose a new model for the aggregation of risks that is very flexible and useful in high dimensional problems. We propose a copula-based model that is both hierarchical and hybrid (HYC for short), because: (i) the dependence structure is modeled as a hierarchical copula, (ii) it unifies the...
Persistent link: https://www.econbiz.de/10011263855
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Vigilant measures of risk and the demand for contingent claims
Ghossoub, Mario - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 27-35
We examine a class of utility maximization problems with a non-necessarily law-invariant utility, and with a non-necessarily law-invariant risk measure constraint. Under a consistency requirement on the risk measure that we call Vigilance, we show the existence of optimal contingent claims, and...
Persistent link: https://www.econbiz.de/10011263856
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Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guan, Guohui; Liang, Zongxia - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 99-109
This paper studies the optimization problem of DC pension plan under mean–variance criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang (2014), we assume that the instantaneous interest rate is an affine process including the Cox–Ingersoll–Ross (CIR)...
Persistent link: https://www.econbiz.de/10011263857
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A semiparametric panel approach to mortality modeling
Li, Han; O’Hare, Colin; Zhang, Xibin - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 264-270
During the past twenty years, there has been a rapid growth in life expectancy and an increased attention on funding for old age. Attempts to forecast improving life expectancy have been boosted by the development of stochastic mortality modeling, for example the Cairns–Blake–Dowd (CBD) 2006...
Persistent link: https://www.econbiz.de/10011263858
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On optimal reinsurance policy with distortion risk measures and premiums
Assa, Hirbod - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 70-75
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social...
Persistent link: https://www.econbiz.de/10011263859
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In-sample forecasting applied to reserving and mesothelioma mortality
Mammen, Enno; Miranda, Martínez; Dolores, María; … - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 76-86
This paper shows that recent published mortality projections with unobserved exposure can be understood as structured density estimation. The structured density is only observed on a sub-sample corresponding to historical calendar times. The mortality forecast is obtained by extrapolating the...
Persistent link: https://www.econbiz.de/10011263860
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Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria; Puccetti, Giovanni; Rüschendorf, Ludger - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 17-26
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random variables with fixed marginal distributions under an additional positive dependence structure. We show that assuming positive dependence information in our model leads to reduced dependence...
Persistent link: https://www.econbiz.de/10011263861
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