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Impact of Flexible Periodic Pr...
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ECONIS (ZBW)
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1
Impact of flexible periodic premiums on variable annuity guarantees
Bernard, Carole
;
Cui, Zhenyu
;
Vanduffel, Steven
- In:
North American actuarial journal
21
(
2017
)
1
,
pp. 63-86
Persistent link: https://www.econbiz.de/10011857977
Saved in:
2
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
Saved in:
3
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
4
Optimal strategies under Omega ratio
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
European journal of operational research : EJOR
275
(
2019
)
2
,
pp. 755-767
Persistent link: https://www.econbiz.de/10011993573
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5
Rearrangement algorithm and maximum entropy
Bernard, Carole
;
Bondarenko, Oleg
;
Vanduffel, Steven
-
2018
Persistent link: https://www.econbiz.de/10011871464
Saved in:
6
Optimal portfolios under a correlation constraint
Bernard, Carole
;
Cornilly, Dries
;
Vanduffel, Steven
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 333-345
Persistent link: https://www.econbiz.de/10011906370
Saved in:
7
Optimal portfolio under state-dependent expected utility
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011889433
Saved in:
8
Value-at-risk bounds with variance constraints
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
)
3
,
pp. 923-959
Persistent link: https://www.econbiz.de/10011749149
Saved in:
9
How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
Saved in:
10
Rationalizing investors' choices
Bernard, Carole
;
Chen, Jit Seng
;
Vanduffel, Steven
- In:
Journal of mathematical economics
59
(
2015
),
pp. 10-23
Persistent link: https://www.econbiz.de/10011573437
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