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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational management science
17
(
2020
)
2
,
pp. 163-178
Persistent link: https://www.econbiz.de/10012272056
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Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
Staino, Alessandro
;
Russo, Emilio
;
Costabile, Massimo
; …
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014228472
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