### On the economic risk capital of portfolio insurance.

Hürlimann, Werner (2004)

International Journal of Mathematics and Mathematical Sciences

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Hürlimann, Werner (2004)

International Journal of Mathematics and Mathematical Sciences

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Hürlimann, Werner (2008)

Boletín de la Asociación Matemática Venezolana

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Giovanni Puccetti, Ludger Rüschendorf, Dennis Manko (2016)

Dependence Modeling

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Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and...

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...

Furman, Olga, Furman, Edward (2010)

Journal of Probability and Statistics

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Dong, Hua, Zhao, Xiang Hua, Liu, Zai Ming (2010)

Applied Mathematics E-Notes [electronic only]

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Dmitrasinovic-Vidovic, Gordana, Lari-Lavassani, Ali, Li, Xun, Ware, Antony (2010)

Journal of Probability and Statistics

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Kristina Sendova (2007)

ESAIM: Probability and Statistics

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Different kinds of renewal equations repeatedly arise in connection with renewal risk models and variations. It is often appropriate to utilize bounds instead of the general solution to the renewal equation due to the inherent complexity. For this reason, as a first approach to construction of bounds we employ a general Lundberg-type methodology. Second, we focus specifically on exponential bounds which have the advantageous feature of being closely connected to the asymptotic behavior...

Jewan, Diresh, Guo, Renkuan, Witten, Gareth (2009)

Journal of Applied Mathematics and Decision Sciences

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Evstigneev, I.V., Klein Haneveld, W.K., Mirman, L.J. (1999)

Journal of Applied Mathematics and Decision Sciences

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Thomas H. McInish, Joel N. Morse, Erwin M. Saniga (1984)

RAIRO - Operations Research - Recherche Opérationnelle

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Minkova, Leda D. (2004)

Journal of Applied Mathematics and Stochastic Analysis

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T. Dohi, A. Watanabe, S. Osaki (1994)

RAIRO - Operations Research - Recherche Opérationnelle

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