Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost
, 2023 Federico S, Ferrari G, Torrente ML. Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Center for Mathematical Economics Working Papers. Vol 682. Bielefeld: Center for Mathematical Economics; 2023.We propose a model
Ferrari, Giorgio +2 more
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Pricing and hedging European options with discrete-time coherent risk
Dynamic coherent risk measure, Dynamic tail VaR, Dynamic weighted VaR, Fundamental theorem of asset pricing, Hedging cash flow streams, No good deals, Price contribution, Pricing cash flow streams, Risk management, Risk measurement, 91B30, 91B70, G13 ...
Alexander Cherny
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Some properties of stop-loss moments under biased sampling. [PDF]
J Appl Stat, 2023 Vipin N, Ghosh I, Sunoj SM.
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On the Underwriting Gain of a Whole Life Insurance in a Dual Random Environment [PDF]
, 2008 A dual random model of life insurance, where both the time until death and the rate of return on investment are random quantities, is considered. The paradox of the underwriting gain by Jewell Mathematics Subject Classification: Primary 62P05, Secondary
Werner Hürlimann
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Weighted V@R and its Properties
Capital allocation, Coherent risk measures, Determining set, Distorted measures, Minimal extreme measure, No-good-deals pricing, Spectral risk measures, Strict diversification, Tail V@R, Weighted V@R, 91B16, 91B30, G10, G11, G12,
A. Cherny
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Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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A Markov process interest and mortality model
, 2008 For several years stochastic models have been proposed that are able to capture uncertainty linked to the future development both of financial and demographic components inherent in the policy. We consider a multistate life insurance contract and propose
GOSIO, CRISTINA, RAVERA, MARINA
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Possible favorable lifestyle changes owing to the coronavirus disease 2019 (COVID-19) pandemic among middle-aged Japanese women: An ancillary survey of the TRF-Japan study using the original "Taberhythm" smartphone app. [PDF]
PLoS One, 2021 Azuma K +6 more
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The Credibility Estimators with Dependence Over Risks
, 2014 In classical credibility theory, claims are assumed to be independent over risks. However, in many practical situations, the assumptions may be violated in some situations. Hence, this paper investigates the credibility premiums with a special dependence
Qiang Zhang, Qianqian Cui, Lijun Wu
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Value-at-risk estimation using a copula approach
, 2004 In this paper we calculate value at risk (VAR) for a two risky assets portfolio assuming that the dependence structure between the two risk factors may be modelled properly by an Archimedean copula function.
MICOCCI, MARCO, MASALA, GIOVANNI BATISTA
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