Grüss-type bounds for the covariance of transformed random variables.
Integral representations of risk functions for basket derivatives
The risk minimizing problem in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x) = x and , with p > 1 for digital, quantos, outperformance and spread options are derived.
Le risque moyen d'une assurance générale
Local likelihood density estimation and value-at-risk.
Local stability and differentiability of the Mean–Conditional Value at Risk model defined on the mixed–integer loss functions
In this paper, we study local stability of the mean-risk model with Conditional Value at Risk measure where the mixed-integer value function appears as a loss variable. This model has been recently introduced and studied in~Schulz and Tiedemann [16]. First, we generalize the qualitative results for the case with random technology matrix. We employ the contamination techniques to quantify a possible effect of changes in the underlying probability distribution on the optimal value. We use the generalized...
Loss protection in pairs trading through minimum profit bounds: A cointegration approach.
Matematické teorie pojišťování
Mathematical methods in modern risk measurement: a survey.
Mean-variance optimal local reinsurance contracts
Measuring of second–order stochastic dominance portfolio efficiency
In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a -SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and -SSD portfolio efficiency classification with respect to changes in scenarios of returns. We propose new...
Minimizing banking risk in a Lévy process setting.
Model tracking for risk problems.
Monotonicity of ratios involving incomplete gamma functions with actuarial applications.
Multistage risk premiums in portfolio optimization
This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller than...
Multivariate Fréchet copulas and conditional value-at-risk.
O mathematické a morální naději. [IV.]
On a class of risk processes with barriers and random incomes.
On a New Form of Life Assurance
On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.
We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning event becomes more extreme. The results are illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.