发布求助
文献互助 智能选刊 最新文献

Innovations in Insurance, Risk- and Asset Management最新文献

筛选
英文 中文
Interest Rate Swap Valuation in the Chinese Market 中国市场利率掉期估值
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0013
W. Cui, M. Dai, S. Kou, Yaquan Zhang, Cheng Zhang, Xianhao Zhu
{"title":"Interest Rate Swap Valuation in the Chinese Market","authors":"W. Cui, M. Dai, S. Kou, Yaquan Zhang, Cheng Zhang, Xianhao Zhu","doi":"10.1142/9789813272569_0013","DOIUrl":"https://doi.org/10.1142/9789813272569_0013","url":null,"abstract":"","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124855512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models 错误的风险调整暴露:默认强度模型中期权的分析近似
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-04-10 DOI: 10.1142/9789813272569_0002
D. Brigo, Thomas Hvolby, F. Vrins
{"title":"Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models","authors":"D. Brigo, Thomas Hvolby, F. Vrins","doi":"10.1142/9789813272569_0002","DOIUrl":"https://doi.org/10.1142/9789813272569_0002","url":null,"abstract":"","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"54 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132512002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach 极端风险中的数据和不确定性:一种非线性期望方法
Innovations in Insurance, Risk- and Asset Management Pub Date : 2017-05-23 DOI: 10.1142/9789813272569_0006
Samuel N. Cohen
{"title":"Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach","authors":"Samuel N. Cohen","doi":"10.1142/9789813272569_0006","DOIUrl":"https://doi.org/10.1142/9789813272569_0006","url":null,"abstract":"Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation introduced in [5], can assist in the quantification of statistical uncertainty for these problems. However, when we are in a heavy-tailed context (in particular when our data are described by a Pareto distribution, as is common in much of extreme value theory), the theory of [5] is insufficient, and requires an additional regularization step which we introduce. By asking whether this regularization is possible, we obtain a qualitative requirement for reliable estimation of tail quantities and risk measures, in a Pareto setting.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126936793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Pathwise Construction of Affine Processes 仿射过程的路径构造
Innovations in Insurance, Risk- and Asset Management Pub Date : 2014-12-25 DOI: 10.1142/9789813272569_0008
Nicoletta Gabrielli, J. Teichmann
{"title":"Pathwise Construction of Affine Processes","authors":"Nicoletta Gabrielli, J. Teichmann","doi":"10.1142/9789813272569_0008","DOIUrl":"https://doi.org/10.1142/9789813272569_0008","url":null,"abstract":"Based on the theory of multivariate time changes for Markov processes, we show how to identify affine processes as solutions of certain time change equations. The result is a strong version of a theorem presented by J. Kallsen (2006) which provides a representation in law of an affine process as a time-change transformation of a family of independent L'evy processes.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"42 9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116474543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信