David Saunders

Available identifiers

zbMath Open saunders.david-claudeMaRDI QIDQ655576

List of research outcomes

Publication	Date of Publication	Type
Two-phase selection of representative contracts for valuation of large variable annuity portfolios	2024-02-13	Paper
Higher-Order Regularity of the Free Boundary in the Inverse First-Passage Problem	2022-08-30	Paper
Quantitative Enterprise Risk Management	2022-02-03	Paper
FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT	2021-12-27	Paper
Structure of intergenerational risk-sharing plans: optimality and fairness	2021-09-13	Paper
Mean-expectile portfolio selection	2021-07-15	Paper
BSDE approach to utility maximization with square-root factor processes	2020-04-07	Paper
Analysis of an optimal stopping problem arising from hedge fund investing	2019-11-28	Paper
PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS	2019-09-09	Paper
Market-Consistent Valuation and Funding of Cash Balance Pensions	2019-05-28	Paper
Updating Wilkie’s Economic Scenario Generator for U.S. Applications	2019-05-07	Paper
Valuation of an early exercise defined benefit underpin hybrid pension	2018-12-14	Paper
Pricing Shared-Loss Hedge Fund Fee Structures	2018-10-22	Paper
DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS	2018-10-19	Paper
Optimal investment strategies for participating contracts	2017-11-23	Paper
Improved algorithms for computing worst value-at-risk	2017-05-22	Paper
Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit	2014-07-19	Paper
Algorithmic estimation of risk factors in financial markets with stochastic drift	2012-11-15	Paper
Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions	2012-01-04	Paper
https://portal.mardi4nfdi.de/entity/Q3102961	2011-11-25	Paper
Analytical methods for hedging systematic credit risk with linear factor portfolios	2009-08-07	Paper
Credit risk optimization using factor models	2008-03-31	Paper
Portfolio optimization when asset returns have the Gaussian mixture distribution	2007-12-10	Paper
Analysis of an Inverse First Passage Problem from Risk Management	2007-05-22	Paper
Phase resetting and coupling of noisy neural oscillators	2006-08-23	Paper

Research outcomes over time

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