13 results
3 - Risk Measures
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- Book:
- Quantitative Enterprise Risk Management
- Published online:
- 28 July 2022
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- 05 May 2022, pp 71-105
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Dynamic importance allocated nested simulation for variable annuity risk measurement
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- Journal:
- Annals of Actuarial Science / Volume 16 / Issue 2 / July 2022
- Published online by Cambridge University Press:
- 21 February 2022, pp. 319-348
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RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 50 / Issue 3 / September 2020
- Published online by Cambridge University Press:
- 25 June 2020, pp. 959-999
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- September 2020
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Longevity trend risk over limited time horizons
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- Journal:
- Annals of Actuarial Science / Volume 14 / Issue 2 / September 2020
- Published online by Cambridge University Press:
- 21 May 2020, pp. 262-277
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Risk management with Tail Quasi-Linear Means
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- Journal:
- Annals of Actuarial Science / Volume 14 / Issue 1 / March 2020
- Published online by Cambridge University Press:
- 17 October 2019, pp. 170-187
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ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 48 / Issue 1 / January 2018
- Published online by Cambridge University Press:
- 02 November 2017, pp. 375-411
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- January 2018
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FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 48 / Issue 1 / January 2018
- Published online by Cambridge University Press:
- 02 November 2017, pp. 171-196
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- January 2018
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SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 44 / Issue 3 / September 2014
- Published online by Cambridge University Press:
- 10 June 2014, pp. 653-681
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- September 2014
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Plug-in estimation of level sets in a non-compact setting withapplications in multivariate risk theory
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- Journal:
- ESAIM: Probability and Statistics / Volume 17 / 2013
- Published online by Cambridge University Press:
- 08 February 2013, pp. 236-256
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- 2013
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Tail Comonotonicity and Conservative Risk Measures
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 42 / Issue 2 / November 2012
- Published online by Cambridge University Press:
- 09 August 2013, pp. 601-629
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- November 2012
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Conditional Tail Expectation and Premium Calculation*
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 42 / Issue 1 / May 2012
- Published online by Cambridge University Press:
- 09 August 2013, pp. 325-342
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- May 2012
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Optimal Reinsurance Revisited – A Geometric Approach
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 40 / Issue 1 / May 2010
- Published online by Cambridge University Press:
- 09 August 2013, pp. 221-239
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- May 2010
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Conditional tail expectations for multivariate phase-type distributions
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- Journal:
- Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
- Published online by Cambridge University Press:
- 14 July 2016, pp. 810-825
- Print publication:
- September 2005
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