Similar Search Results - EconBiz

Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic

Fergusson, Kevin - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 381-417

Persistent link: https://www.econbiz.de/10012243342

Modeling and management of biometric risk

Mägebier, Alexander Hendrik - 2014

Persistent link: https://www.econbiz.de/10010472104

Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Dynamic Discrete-Time Multi-Step Markov Loss Model

Walker, Michael B. - 2009

This article describes a dynamic discrete-time multi-step Markov model for the losses experienced by a given credit portfolio, and develops a method for the simultaneous calibration of the model to all available relevant market prices (for CDO's, forward-start CDO's, options on CDO's, leveraged...

Persistent link: https://www.econbiz.de/10013153488

An Intensity Model for Credit Risk with Switching Lévy Processes

Hainaut, Donatien - 2014

We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by …

Persistent link: https://www.econbiz.de/10013064624

Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model

Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662

Persistent link: https://www.econbiz.de/10003899505

Pricing and hedging in stochastic volatility regime switching models

Goutte, Stéphane - In: Journal of mathematical finance 3 (2013) 1, pp. 70-80

Persistent link: https://www.econbiz.de/10010240223

VaR-optimal risk management in regime-switching jump-diffusion models

Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109

Persistent link: https://www.econbiz.de/10010240819

Constant proportion portfolio insurance under a regime switching exponential Lévy process

Weng, Chengguo - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 508-521

Persistent link: https://www.econbiz.de/10009763599

Asset allocation under stochastic interest rate with regime switching

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136

Persistent link: https://www.econbiz.de/10009667429

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197

Persistent link: https://www.econbiz.de/10011915585

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