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On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Asmussen, Søren - In: Finance and stochastics 26 (2022) 3, pp. 383-416
Persistent link: https://www.econbiz.de/10013440228
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Optimal risk control and dividend distribution policies : example of excess-of loss reinsurance for an insurance corporation
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael I. - In: Finance and stochastics 4 (2000) 3, pp. 299-324
Persistent link: https://www.econbiz.de/10001487076
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Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael - In: Finance and stochastics 4 (2000) 3, pp. 299-324
Persistent link: https://www.econbiz.de/10008217577
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Yuri; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-228
Persistent link: https://www.econbiz.de/10008214886
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Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 1, pp. 17-44
Persistent link: https://www.econbiz.de/10008215024
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
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Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 1, pp. 17-44
Persistent link: https://www.econbiz.de/10001910678
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826
Persistent link: https://www.econbiz.de/10012114659