Similar Search Results

From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011350605

Neural networks and ARMA-GARCH models for foreign exchange risk measurement and assessment

Nsengiyumva, Elysee; Mung'atu, Joseph K.; Kayijuka, Idrissa - In: Cogent economics & finance 12 (2024) 1, pp. 1-15

risks. This study aimed to measure and assess foreign exchange risk utilizing Neural Networks and ARMA-GARCH models. Data on … GBP. This research explores advanced methods for measuring and assessing foreign exchange risk using Neural Networks … for financial institutions, investors, and policymakers, equipping them with robust tools for risk management in currency …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193557

Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order

Cheung, Ka Chun; Lo, Ambrose - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 334-342

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010195921

Analytical calculation of risk measures for variable annuity guaranteed benefits

Feng, Runhuan; Volkmer, Hans W. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 636-648

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009683199

On the Lebesgue property of monotone convex functions

Owari, Keita - In: Mathematics and financial economics 8 (2014) 2, pp. 159-167

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010341763

A probability metrics approach to financial risk measures

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2011

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008824237

On a class of law invariant convex risk measures

Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009159083

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

Efficient approximations for numbers of survivors in the Lee-Carter model

Ggbari, Samuel; Denuit, Michel - In: Insurance / Mathematics & economics 59 (2014), pp. 71-77

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010469179

Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes

Heilpern, Stanislaw - In: Insurance / Mathematics & economics 59 (2014), pp. 251-257

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010470011