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Mathematische Grundlagen des modernen Portfolio-Managements
Auckenthaler, Christoph - 1991
Persistent link: https://ebvufind01.dmz1.zbw.eu/10000085068
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Extreme financial risks : from dependence to risk management
Malevergne, Yannick; Sornette, Didier - 2006
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003042066
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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010385027
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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010464782
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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011630650
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Mathematische Grundlagen des modernen Portfolio-Managements
Auckenthaler, Christoph - 1995 - 2., überarb. und erg. Aufl.
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013417816
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Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Yang Yang; Fan, Yahui; Yuen, Kam Chuen - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 361-382
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014520551
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Idiosyncratic shocks and asset returns in the real-business-cycle model : an approximate analytical approach
Cárceles-Poveda, Eva - In: Macroeconomic dynamics 9 (2005) 3, pp. 295-320
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003048653
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Beyond the random walk : a guide to stock market anomalies and low risk investing
Singal, Vijay - 2006 - 1. issued as an Oxford pbk.
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003982793
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Incomplete markets, liquidation risk, and the term structure of interest rates
Challe, Edouard; Le Grand, François; Ragot, Xavier - In: Journal of economic theory 148 (2013) 6, pp. 2483-2519
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010257923