Estimating value at risk of portfolio by conditional copula-GARCH method • Review article
Insurance: Mathematics and Economics | Huang, J.J.; Lee, K.J.; Liang, H.; Lin, W.F.
Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
Insurance: Mathematics and Economics, Volume 45, Issue 2, October 2009, Pages 157-162 | Cao, Y.; Wan, N.
Goodness-of-fit tests for copulas: A review and a power study
Insurance: Mathematics and Economics, Volume 44, Issue 2, April 2009, Pages 199-213 | Genest, C.; Remillard, B.; Beaudoin, D.
Optimal investment and reinsurance of an insurer with model uncertainty
Insurance: Mathematics and Economics, Volume 45, Issue 1, August 2009, Pages 81-88 | Zhang, X.; Siu, T.K.
Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
Insurance: Mathematics and Economics | Chadjiconstantinidis, S.; Papaioannou, A.D.
Fuzzy random variables
Insurance: Mathematics and Economics, Volume 44, Issue 2, April 2009, Pages 307-314 | Shapiro, A.F.
On stochastic mortality modeling
Insurance: Mathematics and Economics | Plat, R.
Insurance claims modulated by a hidden Brownian marked point process
Insurance: Mathematics and Economics, Volume 45, Issue 2, October 2009, Pages 163-172 | Elliott, R.J.; Chen, Z.; Duan, Q.
TVaR-based capital allocation with copulas
Insurance: Mathematics and Economics | Barges, M.; Cossette, H.; Marceau, E.
GARCH option pricing: A semiparametric approach
Insurance: Mathematics and Economics, Volume 43, Issue 1, August 2008, Pages 69-84 | Badescu, A.M.; Kulperger, R.J.
Continuous-time mean-variance portfolio selection with liability and regime switching
Insurance: Mathematics and Economics, Volume 45, Issue 1, August 2009, Pages 148-155 | Xie, S.
Esscher transforms and consumption-based models
Insurance: Mathematics and Economics | Badescu, A.; Elliott, R.J.; Siu, T.K.
Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
Insurance: Mathematics and Economics | Song, Y.; Yan, J.A.
The one-year non-life insurance risk
Insurance: Mathematics and Economics, Volume 45, Issue 2, October 2009, Pages 203-208 | Ohlsson, E.; Lauzeningks, J.
Pair-copula constructions of multiple dependence
Insurance: Mathematics and Economics, Volume 44, Issue 2, April 2009, Pages 182-198 | Aas, K.; Czado, C.; Frigessi, A.; Bakken, H.
Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
Insurance: Mathematics and Economics, Volume 45, Issue 1, August 2009, Pages 9-18 | Gao, J.
Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model
Insurance: Mathematics and Economics, Volume 43, Issue 3, December 2008, Pages 456-465 | Chen, P.; Yang, H.; Yin, G.
A jump-diffusion model for option pricing under fuzzy environments
Insurance: Mathematics and Economics, Volume 44, Issue 3, June 2009, Pages 337-344 | Xu, W.; Wu, C.; Xu, W.; Li, H.
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
Insurance: Mathematics and Economics, Volume 44, Issue 1, February 2009, Pages 26-34 | Azcue, P.; Muler, N.
Correlation order, merging and diversification
Insurance: Mathematics and Economics | Dhaene, J.; Denuit, M.; Vanduffel, S.
Optimal reinsurance with general risk measures
Insurance: Mathematics and Economics, Volume 44, Issue 3, June 2009, Pages 374-384 | Balbas, A.; Balbas, B.; Heras, A.
A perturbed risk model with dependence between premium rates and claim sizes
Insurance: Mathematics and Economics | Zhou, M.; Cai, J.
On ruin probability and aggregate claim representations for Pareto claim size distributions
Insurance: Mathematics and Economics | Albrecher, H.; Kortschak, D.
Using quantile regression for rate-making
Insurance: Mathematics and Economics, Volume 45, Issue 2, October 2009, Pages 296-304 | Kudryavtsev, A.A.
The valuation of contingent capital with catastrophe risks
Insurance: Mathematics and Economics, Volume 45, Issue 1, August 2009, Pages 65-73 | Lin, S.K.; Chang, C.C.; Powers, M.R.
Güncelleme:10.03.2010 19:41:42
