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34
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30
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26
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23
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23
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Insurance: Mathematics and Economics, S. 215-228, 2000
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Internationale Aktuarvereinigung - Veröffentlichungen
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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
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2331
Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence
Jumarie, Guy
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 585-598
Persistent link: https://www.econbiz.de/10006874107
Saved in:
2332
Occupation measure and local time of classical risk processes
Kolkovska, Ekaterina T.
;
Lopez-Mimbela, José A.
; …
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 573-584
Persistent link: https://www.econbiz.de/10006874108
Saved in:
2333
Static-arbitrage optimal subreplicating strategies for basket options
Hobson, David
;
Laurence, Peter
;
Wang, Tai-Ho
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 553-572
Persistent link: https://www.econbiz.de/10006874109
Saved in:
2334
Fair valuation of participating policies with surrender options and regime switching
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 533-552
Persistent link: https://www.econbiz.de/10006874110
Saved in:
2335
On the probability of ruin in a Markov-modulated risk model
Lu, Yi
;
Li, Shuanming
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 522-532
Persistent link: https://www.econbiz.de/10006874111
Saved in:
2336
The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
Ren, Jiandong
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 505-521
Persistent link: https://www.econbiz.de/10006874112
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2337
Multinomial model for random sums
Kolev, Nikolai
;
Paiva, Delhi
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 494-504
Persistent link: https://www.econbiz.de/10006874113
Saved in:
2338
Benefit uncertainty and default risk in pension plans
Khorasanee, Zaki
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 469-493
Persistent link: https://www.econbiz.de/10006874114
Saved in:
2339
Affine processes for dynamic mortality and actuarial valuations
Biffis, Enrico
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 443-468
Persistent link: https://www.econbiz.de/10006874115
Saved in:
2340
The win-first probability under interest force
Rullière, Didier
;
Loisel, Stéphane
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 421-442
Persistent link: https://www.econbiz.de/10006874116
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