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Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
Delong, Łukasz - In: Bank i kredyt 42 (2011) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10009951160
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Mean–variance optimization problems for an accumulation phase in a defined benefit plan
Delong, Łukasz; Gerrard, Russell; Haberman, Steven - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 107-118
Persistent link: https://www.econbiz.de/10007905839
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Mean-variance portfolio selection for a non-life insurance company
Delong, Łukasz; Gerrard, Russell - In: Mathematical methods of operations research 66 (2007) 2, pp. 339-368
Persistent link: https://www.econbiz.de/10007864249
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An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
Delong, Łukasz - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 278-294
Persistent link: https://www.econbiz.de/10008717980
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Mean–variance optimization problems for an accumulation phase in a defined benefit plan
Delong, Łukasz; Gerrard, Russell; Haberman, Steven - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 107-119
Persistent link: https://www.econbiz.de/10008886709
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Diversification of aggregate dependent risks
Alink, Stan; Löwe, Matthias; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 35 (2004) 1, pp. 77-96
Persistent link: https://www.econbiz.de/10006880465
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Copula convergence theorems for tail events
Juri, Alessandro; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 30 (2002) 3, pp. 405-420
Persistent link: https://www.econbiz.de/10006894459
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Extreme Value Theory and Archimedean Copulas
Wüthrich, Mario V. - In: Scandinavian actuarial journal : Actuarial Society of … 104 (2004) 3, pp. 211-228
Persistent link: https://www.econbiz.de/10005926452
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Extreme Value Theory and Archimedean Copulas
Wüthrich, Mario V. - In: Scandinavian actuarial journal : Actuarial Society of … 108 (2004) 3, pp. 211-228
Persistent link: https://www.econbiz.de/10005927742
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Chain ladder method: Bayesian bootstrap versus classical bootstrap
Peters, Gareth W.; Wüthrich, Mario V.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 36-52
Persistent link: https://www.econbiz.de/10008422779