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Optimal investment and proportional reinsurance with risk constraint
Liu, Jingzhen; Yiu, Ka Fai Cedric; Loxton, Ryan C.; … - In: Journal of mathematical finance 3 (2013) 4, pp. 437-447
Persistent link: https://www.econbiz.de/10010240806
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Stochastic modeling and fair valuation of drawdown insurance
Zhang, Hongzhong; Leung, Tim; Hadjiliadis, Olympia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 840-850
Persistent link: https://www.econbiz.de/10010227813
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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 504-514
Persistent link: https://www.econbiz.de/10010227974
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Valuing catastrophe derivatives under limited diversification : a stochastic dominance approach
Perrakis, Stylianos; Boloorforoosh, Ali - In: Journal of banking & finance 37 (2013) 8, pp. 3157-3168
Persistent link: https://www.econbiz.de/10009778483
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Valuation of double trigger catastrophe options with counterparty risk
Jiang, I-ming; Yang, Sheng-Yung; Liu, Yu-hong; Wang, Alan T. - In: The North American journal of economics and finance : a … 25 (2013), pp. 226-242
Persistent link: https://www.econbiz.de/10009779275
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Contingent claim pricing using a normal inverse gaussian probability distortion operator
Godin, Frédéric; Mayoral, Silvia; Morales, Manuel - In: The journal of risk and insurance : the journal of the … 79 (2012) 3, pp. 841-866
Persistent link: https://www.econbiz.de/10009616210
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Living with ambiguity : pricing mortality-linked securities with smooth ambiguity preferences
Chen, Hua; Sherris, Michael; Sun, Tao; Zhu, Wenge - In: The journal of risk and insurance : the journal of the … 80 (2013) 3, pp. 705-732
Persistent link: https://www.econbiz.de/10010127206
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An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
Feng, Runhuan - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 304-313
Persistent link: https://www.econbiz.de/10008989314
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Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
Zhang, Zhimin; Yang, Hailiang - In: Insurance / Mathematics & economics 59 (2014), pp. 168-177
Persistent link: https://www.econbiz.de/10010469141
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Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196
Persistent link: https://www.econbiz.de/10010515891