Actuarial Risk Measures for Financial Derivative Pricing

By Marc J. Goovaerts, Roger J. A. Laeven. 2008

91 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a4893c71e01ff83217a49794750913e3e8b9671c

Citations in the corpus

• Optimal reinsurance with general risk measures (2009, unknown): “…Goovaerts et al. (2004a) have introduced the consistent risk measures, also studied in Burgert and Rüschendorf (2006), Goovaerts et al. (2004b) and Goovaerts and Laeven (2008) have introduced mixtures of exponentials, Frittelli and Scandolo (2005) have analyzed risk measures for stochastic…”
• Weighted Risk Capital Allocations (2008, unknown): “An example of the weighted allocation when w does not depend on any cdf is Esscher’s allocation, whose detailed study with further references can be found in, e.g., Buhlmann (1980, 1984), Wang (2002, 2007), Goovaerts et al. (2004), Young (2004), Denuit et al. (2005), Pflug and Romisch (2007) and Go”