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~isPartOf:"Insurance / Mathematics & economics"
~subject:"Markov-Kette"
~subject:"Dividend"
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Markov-Kette
Dividend
Option pricing theory
139
Optionspreistheorie
139
Stochastic process
66
Stochastischer Prozess
66
Lebensversicherung
36
Life insurance
36
Portfolio selection
34
Portfolio-Management
34
Volatility
26
Volatilität
26
Hedging
21
Finanzmathematik
19
Mathematical finance
19
Mortality
15
Option trading
15
Optionsgeschäft
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Risk
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Sterblichkeit
15
Derivat
14
Derivative
14
Interest rate
14
Risiko
14
Zins
14
Private Altersvorsorge
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Private retirement provision
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Risikomanagement
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Risk management
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Dividende
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Lévy process
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Risikomodell
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Risk model
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Variable annuities
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Kreditrisiko
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Shen, Yang
3
Siu, Tak Kuen
3
Godin, Frédéric
2
Trottier, Denis-Alexandre
2
Yamazaki, Kazutoshi
2
Bayraktar, Erhan
1
Bo, Lijun
1
Chen, Ping
1
Cui, Zhenyu
1
Dassios, Angelos
1
Elliott, Robert J.
1
Fan, Kun
1
Gajek, Lewław
1
Hernández, Camilo
1
Hieber, Peter
1
Jiang, Zhengjun
1
Junca, Mauricio
1
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1
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1
Koch Medina, Pablo
1
Kuciński, Łukasz
1
Kyprianou, Andreas E.
1
Lai, Van Son
1
Li, Zhong
1
Liew, Chuin Ching
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Moreno-Bromberg, Santiago
1
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1
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Noba, Kei
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
35
Quantitative finance
14
European journal of operational research : EJOR
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Computational economics
10
Finance research letters
10
Annals of finance
9
Applied mathematical finance
9
Finance and stochastics
9
Review of derivatives research
9
Journal of economic dynamics & control
8
Asia-Pacific financial markets
7
International journal of financial engineering
7
Journal of banking & finance
7
The journal of futures markets
7
Energy economics
6
International review of economics & finance : IREF
6
Journal of econometrics
6
Review of quantitative finance and accounting
6
The European journal of finance
6
The journal of computational finance
6
Risks : open access journal
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Economic modelling
4
IMA journal of management mathematics
4
International journal of theoretical and applied finance : IJTAF
4
Journal of empirical finance
4
Journal of financial and quantitative analysis : JFQA
4
Journal of mathematical finance
4
Stevens Institute of Technology School of Business Research Paper
4
The North American journal of economics and finance : a journal of financial economics studies
4
Working paper / Department of Econometrics and Business Statistics, Monash University
4
Cogent economics & finance
3
International review of financial analysis
3
Journal of financial markets
3
Mathematics and financial economics
3
Operations research
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Research paper series / Swiss Finance Institute
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1
Option
pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
2
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
Kang, Boda
;
Shen, Yang
;
Zhu, Dan
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 96-127
Persistent link: https://www.econbiz.de/10013348971
Saved in:
3
Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun
;
Song, Renming
;
Tang, DanLing
;
Wang, Yongjin
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
2
,
pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
Saved in:
4
Option
pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
5
Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
Yang, Chen
;
Sendova, Kristina P.
;
Li, Zhong
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 135-150
Persistent link: https://www.econbiz.de/10012169515
Saved in:
6
Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
Jiang, Zhengjun
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012058679
Saved in:
7
A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
Hernández, Camilo
;
Junca, Mauricio
;
Moreno-Franco, Harold
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 57-68
Persistent link: https://www.econbiz.de/10011825364
Saved in:
8
On optimal periodic dividend strategies for Lévy risk processes
Noba, Kei
;
Pérez, José-Luis
;
Yamazaki, Kazutoshi
; …
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 29-44
Persistent link: https://www.econbiz.de/10011872906
Saved in:
9
Revisiting optimal investment strategies of value-maximizing insurance firms
Koch Medina, Pablo
;
Moreno-Bromberg, Santiago
; …
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 131-151
Persistent link: https://www.econbiz.de/10012649214
Saved in:
10
Cliquet-style return guarantees in a regime switching Lévy model
Hieber, Peter
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 138-147
Persistent link: https://www.econbiz.de/10011694412
Saved in:
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