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Mercadier, Mathieu; Strobel, Frank - In: Applied economics letters 30 (2023) 14, pp. 1874-1881

Persistent link: https://www.econbiz.de/10014305372

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of …-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The …

Persistent link: https://www.econbiz.de/10011507634

Markov-modulated, multi-threshold dual risk model

Shija, G.; Jacob, M. J. - In: International journal of computational economics and … 5 (2015) 2, pp. 183-198

Persistent link: https://www.econbiz.de/10011342896

Precise local large deviations for heavy-tailed random sums with applications to risk models

Zhang, Qiuying; Cheng, Fengyang - In: Scandinavian actuarial journal (2018) 5, pp. 450-463

Persistent link: https://www.econbiz.de/10011881464

Gerber Shiu function of Markov modulated delayed by-claim type risk model with random incomes

Shija, G.; Jacob, M. J. - In: Journal of mathematical finance 6 (2016) 4, pp. 489-501

Persistent link: https://www.econbiz.de/10011656888

In the insurance business risky investments are dangerous : the case of negative risk sums

Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10011471125

Model risk in risk models : quantifying statistical uncertainty in active risk

Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65

Persistent link: https://www.econbiz.de/10012423057

Spatial risk measures and rate of spatial diversification

Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26

the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of …An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …

Persistent link: https://www.econbiz.de/10012019126

Risk neutral reformulation approach to risk averse stochastic programming

Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10012239878

Comparing approximations for risk measures of sums of non-independent lognormal random variables

Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004

Persistent link: https://www.econbiz.de/10002153412