Learning about risk: Some lessons from insurance

DOI10.1023/A:1009835429630MaRDI QIDQ4264090zbMATH OpenFDO

Authors Helyette Geman

Publication date 25 May 2000

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1009835429630

zbMATH Keywords

catastrophe bondsdefaultable bondsextreme value theoryprobability of ruinvalue at risk

Mathematics Subject Classification ID

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(3)

• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Option pricing via maximization over uncertainty and correction of volatility smile
• Nonparametric estimations of non-negative random variables distributions.

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