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On sigma-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model

Krätschmer, Volker - 2007

Persistent link: https://www.econbiz.de/10004879520

The uniqueness of extremum estimation

Krätschmer, Volker - 2006

Persistent link: https://www.econbiz.de/10004880916

Compactness in spaces of inner regular measures and a general Portmanteau lemma

Krätschmer, Volker - 2006

Persistent link: https://www.econbiz.de/10004880918

Robust libor modelling and pricing of derivative products

Schoenmakers, John - 2005

Persistent link: https://www.econbiz.de/10004799914

Differentialgeometrische Kleinste-Quadrate-Schätzung in nichtlinearen Regressionsmodellen mit normalverteilten Störgrößen

Krätschmer, Volker - 1994

Persistent link: https://www.econbiz.de/10004251501

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Krätschmer, Volker; Zähle, Henryk - 2010

A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...

Persistent link: https://www.econbiz.de/10004959423

Central limit theorems for law-invariant coherent risk measures

Belomestny, Denis; Krätschmer, Volker - 2010

Persistent link: https://www.econbiz.de/10009139516

Sensitivities for Bermudan options by regression methods

Belomestny, Denis; Mil¤stejn, Grigorij N.; … - 2007

Persistent link: https://www.econbiz.de/10004894912

Minimum return guarantees with funds switching rights : an optimal stopping problem

Mahayni, Antje; Schoenmakers, John - 2010

Persistent link: https://www.econbiz.de/10008777698