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Survivor bonds: a comment on Blake and Burrows

Dowd, Kevin - In: The journal of risk and insurance : the journal of the … 70 (2003) 2, pp. 339-348

Persistent link: https://www.econbiz.de/10001768801

Validating multiple-period density-forecasting models

Dowd, Kevin - In: Journal of forecasting 26 (2007) 4, pp. 251-270

Persistent link: https://www.econbiz.de/10003506435

Estimating financial risk measures for futures positions: A nonparametric approach

Cotter, John; Dowd, Kevin - In: Journal of Futures Markets 30 (2010) 7, pp. 689-703

This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value‐at‐Risk and Expected Shortfall. The SRMs are...

Persistent link: https://www.econbiz.de/10011197412

Options on normal underlyings with an application to the pricing of survivor swaptions

Dawson, Paul; Dowd, Kevin; Cairns, Andrew J. G.; Blake, … - In: Journal of Futures Markets 29 (2009) 8, pp. 757-774

Persistent link: https://www.econbiz.de/10011197975

Reply to "Survivor bonds: a comment on Blake and Burrows"

Blake, David - In: The journal of risk and insurance : the journal of the … 70 (2003) 2, pp. 349-351

Persistent link: https://www.econbiz.de/10001768803

Survivor derivatives : a consistent pricing framework

Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of risk and insurance : the journal of the … 77 (2010) 3, pp. 579-596

Persistent link: https://www.econbiz.de/10008650419

The new life market

Blake, David; Cairns, Andrew; Coughlan, Guy D.; Dowd, Kevin - In: The journal of risk and insurance : the journal of the … 80 (2013) 3, pp. 501-557

Persistent link: https://www.econbiz.de/10010127214

After VAR : the theory, estimation, and insurance applications of quantile-based risk measures

Dowd, Kevin; Blake, David - In: The journal of risk and insurance : the journal of the … 73 (2006) 2, pp. 193-229

Persistent link: https://www.econbiz.de/10003335256

Survivor swaps

Dowd, Kevin; Blake, David; Cairns, Andrew; Dawson, Paul - In: The journal of risk and insurance : the journal of the … 73 (2006) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10003302387

Longevity bonds : financial engineering, valuation, and hedging

Blake, David; Cairns, Andrew; Dowd, Kevin; MacMinn, … - In: The journal of risk and insurance : the journal of the … 73 (2006) 4, pp. 647-672

Persistent link: https://www.econbiz.de/10003402082