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The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 357-371
Persistent link: https://www.econbiz.de/10009846326
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On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; … - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 10-19
Persistent link: https://www.econbiz.de/10009972452
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Short-term risk management using stochastic Taylor expansions under Lévy models
Schoutens, Wim; Studer, Michael - In: Insurance / Mathematics & economics 33 (2003) 1, pp. 173-188
Persistent link: https://www.econbiz.de/10006886812
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A note on some new perpetuities
Decamps, Marc; Schepper, Ann De; Goovaerts, Marc; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 4, pp. 261-270
Persistent link: https://www.econbiz.de/10005921690
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Static Hedging of Asian Options under Lévy Models
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc; … - In: The journal of derivatives : the official publication … 12 (2005) 3, pp. 63
Persistent link: https://www.econbiz.de/10005923133
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Completion of a Lévy market by power-jump assets
Corcuera, José Manuel; Nualart, David; Schoutens, Wim - In: Finance and stochastics 9 (2005) 1, pp. 109-128
Persistent link: https://www.econbiz.de/10008222973
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Calibration risk: Illustrating the impact of calibration risk under the Heston model
Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-80
Persistent link: https://www.econbiz.de/10009843786
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On the (in-)dependence between financial and actuarial risks
Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; … - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 522-531
Persistent link: https://www.econbiz.de/10010119400
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Implied liquidity: Model sensitivity
Albrecher, Hansjoerg; Guillaume, Florence; Schoutens, Wim - In: Journal of empirical finance 23 (2013), pp. 48-67
Persistent link: https://www.econbiz.de/10010165910
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Systemic risk tradeoffs and option prices
Madan, Dilip B.; Schoutens, Wim - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 222-230
Persistent link: https://www.econbiz.de/10010098499