Similar Search Results

Russian-doll risk models

Kakushadze, Zura - In: The journal of asset management 16 (2015) 3, pp. 170-185

Persistent link: https://www.econbiz.de/10011413287

Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Preserving the Rothschild-Stiglitz type of increasing risk with background risk

Guo, Xu; Li, Jingyuan; Liu, Dongri; Wang, Jianli - In: Insurance / Mathematics & economics 70 (2016), pp. 144-149

Persistent link: https://www.econbiz.de/10011281397

Optimal risk allocation in reinsurance networks

Bäuerle, Nicole; Glauner, Alexander - In: Insurance / Mathematics & economics 82 (2018), pp. 37-47

Persistent link: https://www.econbiz.de/10011929783

An optimization approach to adaptive multi-dimensional capital management

Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 84 (2019), pp. 87-97

Persistent link: https://www.econbiz.de/10011990447

On the properties of high-order non-monetary measures for risks

Courbage, Christophe; Loubergé, Henri; Rey, Béatrice - In: The Geneva risk and insurance review 43 (2018) 1, pp. 77-94

Persistent link: https://www.econbiz.de/10011884433

Statistical risk models

Kakushadze, Zura; Yu, Willie - In: The journal of investment strategies 6 (2017) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10011668127

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19

Persistent link: https://www.econbiz.de/10011712331

The minimal entropy martingale measure in a market of traded financial and actuarial risks

Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - 2014

In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is "closest" to the physical probability measure P, where...

Persistent link: https://www.econbiz.de/10010391547

Optimal Investment in a Dual Risk Model

Fahim, Arash - 2015

Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is … deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated on … development for the dual risk models to minimize the ruin probability of the underlying company. We will also study the …

Persistent link: https://www.econbiz.de/10013013621