arXiv 2017-02-07 EN Existence, uniqueness and stability of optimal portfolios of eligible assets Baes, Michel · Koch-Medina, Pablo · Munari, Cosimo
arXiv 2017-01-28 EN Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity Witkovsky, Viktor · Wimmer, Gejza · Duby, Tomas
arXiv 2017-01-25 EN Premium valuation for a multiple state model containing manifold premium-paid states Dębicka, Joanna · Zmyślona, Beata
arXiv 2017-01-24 EN Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets Serguieva, Antoaneta
arXiv 2017-01-21 EN Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Gao, Niushan · Leung, Denny H. · Munari, Cosimo · Xanthos, Foivos
arXiv 2017-01-19 EN An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints Payandeh-Najafabadi, Amir T. · Panahi-Bazaz, Ali
arXiv 2017-01-19 EN An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation Najafabadi, Amir T. Payandeh · Bazaz, Ali Panahi
arXiv 2017-01-18 EN Dynamic Prize Linked Savings: Maximizing Savings and Managing Risk Connolly, Oisin
arXiv 2017-01-16 EN Worst-Case Expected Shortfall with Univariate and Bivariate Marginals Dhara, Anulekha · Das, Bikramjit · Natarajan, Karthik
arXiv 2017-01-01 EN Net Stable Funding Ratio: Impact on Funding Value Adjustment Siadat, Medya · Hammarlid, Ola
arXiv 2016-12-27 EN Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures Gerlach, Richard · Wang, Chao
arXiv 2016-12-21 EN Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits Klüppelberg, Claudia · Seifert, Miriam Isabel
arXiv 2016-12-19 EN Optimal Investment under Information Driven Contagious Distress Bo, Lijun · Capponi, Agostino
arXiv 2016-12-15 EN European banking supervision, the role of stress test. Some brief considerations Manduchi, Simone
arXiv 2016-12-13 EN The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company Wolny-Dominiak, Alicja
arXiv 2016-12-09 EN Risk averse fractional trading using the current drawdown Maier-Paape, Stanislaus
arXiv 2016-12-09 EN Parameter uncertainty and reserve risk under Solvency II Fröhlich, Andreas · Weng, Annegret
arXiv 2016-12-07 EN Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities Pérez, José-Luis · Yamazaki, Kazutoshi
