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Time-Consistent and Market-Consistent Evaluations
Stadje, Mitja; Pelsser, Antoon André Jean - 2011
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10014177169
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Time-Consistent and Market-Consistent Evaluations
Pelsser, Antoon André Jean - 2012
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10013114789
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Time-Consistent and Market-Consistent Evaluations
Stadje, Mitja - 2014
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10013067934
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On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129
Persistent link: https://www.econbiz.de/10015066953
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Time-consistent and market-consistent evaluations
Stadje, Mitja; Pelsser, Antoon André Jean - 2011 - First version: April 15, 2010, This version: May 30, 2011
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10009152556
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Time-consistent and market-consistent evaluations
Pelsser, Antoon André Jean; Stadje, Mitja - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 25-65
Persistent link: https://www.econbiz.de/10010256228
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Time-consistent and market-consistent evaluations
Stadje, Mitja; Pelsser, Antoon André Jean - 2014 - Revised version of CentER DP 2012-086
Persistent link: https://www.econbiz.de/10010232333
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Time-consistent and market-consistent evaluations
Stadje, Mitja; Pelsser, Antoon André Jean - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009663559
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Robust portfolio choice and indifference valuation
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 39 (2014) 4, pp. 1109-1141
Persistent link: https://www.econbiz.de/10010462159
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Optimal investment under VaR-Regulation and Minimum Insurance
Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209
Persistent link: https://www.econbiz.de/10011825449