6 results
Modelling the liquidity premium on corporate bonds
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- Journal:
- Annals of Actuarial Science / Volume 9 / Issue 2 / September 2015
- Published online by Cambridge University Press:
- 16 February 2015, pp. 264-289
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CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 45 / Issue 2 / May 2015
- Published online by Cambridge University Press:
- 05 January 2015, pp. 239-266
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- May 2015
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Enterprise Risk Management
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- Journal:
- Annals of Actuarial Science / Volume 7 / Issue 1 / March 2013
- Published online by Cambridge University Press:
- 14 January 2013, pp. 1-2
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Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 33 / Issue 2 / November 2003
- Published online by Cambridge University Press:
- 17 April 2015, pp. 209-238
- Print publication:
- November 2003
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7 - Correlation and Dependence in Risk Management: Properties and Pitfalls
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- Book:
- Risk Management
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- 25 January 2010
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- 10 January 2002, pp 176-223
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Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 27 / Issue 1 / May 1997
- Published online by Cambridge University Press:
- 29 August 2014, pp. 117-137
- Print publication:
- May 1997
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