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Pricing cataastrophe bonds with multistage stochastic programming

Georgiopoulos, Nick - In: Computational Management Science : CMS 14 (2017) 3, pp. 297-312

Persistent link: https://www.econbiz.de/10011710821

Hedging credit derivatives when recovery rates are stochastic

Kroemer, Patrick - 2015

Persistent link: https://www.econbiz.de/10011348594

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 77-87

Persistent link: https://www.econbiz.de/10011457158

Market risk based capital for Brazilian insurance companies : a stochastic approach

Cafasso, Pietro Angelo Lioi; Chela, João Luiz; Kimura, … - In: Future Business Journal 4 (2018) 2, pp. 206-218

Solvency II defines minimum capital requirements from insurance companies, due to their exposure to risk. Regulatory bodies of the Brazilian insurance market issued regulations based on a deterministic model for the calculation of risk based capital. In this study, we discuss a simple...

Persistent link: https://www.econbiz.de/10011959684

On the analysis of deep drawdowns for the Lévy insurance risk model

Landriault, David; Li, Bin; Lkabous, Mohamed Amine - In: Insurance / Mathematics & economics 100 (2021), pp. 147-155

Persistent link: https://www.econbiz.de/10012622386

Optimal dividends paid in a foreign currency for a Lévy insurance risk model

Eisenberg, Julia; Palmowski, Zbigniew - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 3, pp. 417-437

Persistent link: https://www.econbiz.de/10012623439

Fractional risk process in insurance

Kumar, Arun; Leonenko, Nikolaj; Pichler, Alois - In: Mathematics and financial economics 14 (2020) 1, pp. 43-65

Persistent link: https://www.econbiz.de/10012239969

Periodic threshold-type dividend strategy in the compound Poisson risk model

Cheung, Eric C. K.; Zhang, Zhimin - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10012194926

Parisian types of ruin probabilities for a class of dependent risk-reserve processes

Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 32-61

Persistent link: https://www.econbiz.de/10012194929

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

Ji, Lanpeng - In: Scandinavian actuarial journal 2020 (2020) 9, pp. 819-842

Persistent link: https://www.econbiz.de/10012313740