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.