arXiv 2017-05-10 EN Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs Grigorova, Miryana · Quenez, Marie-Claire
arXiv 2017-04-27 EN Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix Takaishi, Tetsuya
arXiv 2017-04-24 EN Value-at-Risk Diversification of α-stable Risks: The Tail-Dependence Puzzle Cherubini, Umberto · Neri, Paolo
arXiv 2017-04-24 EN Asymptotic multivariate expectiles Maume-Deschamps, Véronique · Rullière, Didier · Said, Khalil
arXiv 2017-04-18 EN The case of 'Less is more': Modelling risk-preference with Expected Downside Risk Ormos, Mihaly · Timotity, Dusan
arXiv 2017-04-14 EN Simplifying credit scoring rules using LVQ+PSO Lanzarini, Laura Cristina · Monte, Augusto Villa · Bariviera, Aurelio F. · Santana, Patricia Jimbo
arXiv 2017-04-05 EN Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks Fröhlich, Andreas · Weng, Annegret
arXiv 2017-04-05 EN Multivariate Geometric Expectiles Herrmann, Klaus · Hofert, Marius · Mailhot, Melina
arXiv 2017-04-04 EN Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios Chatsanga, Nonthachote · Parkes, Andrew J.
arXiv 2017-03-06 EN Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion Li, Danping · Li, Dongchen · Young, Virginia R.
arXiv 2017-03-03 EN Disentangling Price, Risk and Model Risk: V&R measures Frittelli, Marco · Maggis, Marco
arXiv 2017-03-02 EN A note on conditional covariance matrices for elliptical distributions Jaworski, Piotr · Pitera, Marcin
arXiv 2017-02-28 EN Robust and Consistent Estimation of Generators in Credit Risk Smith, Greig · Reis, Goncalo dos
arXiv 2017-02-28 EN Optimal Investment and Pricing in the Presence of Defaults Ishikawa, Tetsuya · Robertson, Scott
