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Material Type: Artigo
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Goodness-of-fit tests for copulas: A review and a power studyGenest, Christian ; Rémillard, Bruno ; Beaudoin, DavidInsurance, mathematics & economics, 2009-04, Vol.44 (2), p.199-213 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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A Fourier-cosine method for finite-time ruin probabilitiesLee, Wing Yan ; Li, Xiaolong ; Liu, Fangda ; Shi, Yifan ; Yam, Sheung Chi PhillipInsurance, mathematics & economics, 2021-07, Vol.99, p.256-267 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion modelSun, Jingyun ; Li, Zhongfei ; Zeng, YanInsurance, mathematics & economics, 2016-03, Vol.67, p.158-172 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV modelGu, Ailing ; Guo, Xianping ; Li, Zhongfei ; Zeng, YanInsurance, mathematics & economics, 2012-11, Vol.51 (3), p.674-684 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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Optimal dividends in the dual model under transaction costsBayraktar, Erhan ; Kyprianou, Andreas E. ; Yamazaki, KazutoshiInsurance, mathematics & economics, 2014-01, Vol.54, p.133-143 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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Optimal investment and risk control policies for an insurer: Expected utility maximizationZou, Bin ; Cadenillas, AbelInsurance, mathematics & economics, 2014-09, Vol.58, p.57-67 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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Estimating value at risk of portfolio by conditional copula-GARCH methodHuang, Jen-Jsung ; Lee, Kuo-Jung ; Liang, Hueimei ; Lin, Wei-FuInsurance, mathematics & economics, 2009-12, Vol.45 (3), p.315-324 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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The concept of comonotonicity in actuarial science and finance: theoryDhaene, J. ; Denuit, M. ; Goovaerts, M.J. ; Kaas, R. ; Vyncke, D.Insurance Mathematics and Economics, 2002-08, Vol.31 (1), p.3-33 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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Affine processes for dynamic mortality and actuarial valuationsBiffis, EnricoInsurance, mathematics & economics, 2005-12, Vol.37 (3), p.443-468 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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Material Type: Artigo
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The network structure and systemic risk in the global non-life insurance marketKanno, MasayasuInsurance, mathematics & economics, 2016-03, Vol.67, p.38-53 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |