scientific article; zbMATH DE number 5052232

zbMATH Open1191.91048MaRDI QIDQ5486570FDOQ5486570

Authors Eckhard Platen 

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0015.html

zbMATH Keywords

actuarial pricinggrowth optimal portfoliofair pricingrisk neutral pricingBenchmark model

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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• A framework to measure integrated risk
• Risk Measurement
• Modeling, measuring and managing risk
• Risk modelling and management: an overview
• scientific article; zbMATH DE number 1909074
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• Evolutionary Multi-Criterion Optimization
• BENCHMARKED RISK MINIMIZATION
• Risk management: Value at risk and beyond

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• Risk Management with Benchmarking
• A fair pricing approach to weather derivatives
• Evolutionary Multi-Criterion Optimization
• Pricing and valuation under the real-world measure
• A discussion on Buhlmann's criterion for asset valuation.
• Credit derivative evaluation and CVA under the benchmark approach
• A Universal Framework for Pricing Financial and Insurance Risks
• A benchmark approach to filtering in finance
• Benchmarking in two price financial markets
• Risk-adjusted value allocation for (non-traded) assets with performance ratios
• A classified bibliography of recent research relating to project risk management
• Taming animal spirits: risk management with behavioural factors
• A Discrete Time Benchmark Approach for Insurance and Finance
• Evaluating hybrid products: the interplay between financial and insurance markets
• Polynomial diffusion models for life insurance liabilities
• Applying the benchmarking procedure: A decision criterion of choice under risk
• Intensity-based premium evaluation for unemployment insurance products
• Diversified portfolios with jumps in a benchmark framework
• A BENCHMARK APPROACH TO FINANCE

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