Search Results - subject:"parameter uncertainty"

Functional sensitivity analysis of ruin probability in the classical risk models

Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968

Persistent link: https://www.econbiz.de/10012696894

Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty

Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10012424557

Policy-based branch-and-bound for infinite-horizon multi-model Markov decision processes

Ahluwalia, Vinayak S.; Steimle, Lauren N.; Denton, Brian T. - In: Computers & operations research : and their … 126 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012425907

Robust long-term interest rate risk hedging in incomplete bond markets

Shen, Sally; Pelsser, Antoon André Jean; Schotman, Peter C. - In: Journal of pension economics and finance : JPEF 20 (2021) 2, pp. 273-300

Persistent link: https://www.econbiz.de/10012505369

Disclosure dynamics and investor learning

Zhou, Frank S. - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3429-3446

Persistent link: https://www.econbiz.de/10012606922

Managing supply risk : robust procurement strategy for capacity improvement

Li, Yi; Shou, Biying - In: Omega : the international journal of management science 102 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012514510

Valuation of non-life liabilities from claims triangles

Lindholm, Mathias; Lindskog, Filip; Wahl, Felix - In: Risks 5 (2017) 3, pp. 1-28

This paper provides a complete program for the valuation of aggregate non-life insurance liability cash flows based on claims triangle data. The valuation is fully consistent with the principle of valuation by considering the costs associated with a transfer of the liability to a so-called...

Persistent link: https://www.econbiz.de/10011996662

Valuation of non-life liabilities from claims triangles

Lindholm, Mathias; Lindskog, Filip; Wahl, Felix - In: Risks : open access journal 5 (2017) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10011688265

Timber price dynamics after a natural disaster : a reappraisal

Sun, Changyou - In: Journal of forest economics : JFE 35 (2020) 4, pp. 397-420

Persistent link: https://www.econbiz.de/10012630843

Identification of credit risk based on cluster analysis of account behaviours

Bakoben, Maha; Bellotti, Tony; Adams, Niall M. - In: Journal of the Operational Research Society 71 (2020) 5, pp. 775-783

Persistent link: https://www.econbiz.de/10012216777