Model Risk in Portfolio Optimization
- 期刊名称Risks
- 作者Stefanovits, David; Schubiger, Urs; Wüthrich, Mario
- 卷第2卷
- 期第3期
- 电子ISSN2227-9091
- 文件大小390.87KB
- 发表时间2014-08-06
- DOI10.3390/risks2030315
- 页码315-348
Ruin Probabilities Expressed in Terms of Storage ProcessesSøren Asmussen and Søren Schock Petersen · Advances in Applied Probability · 1988
Ruin probabilities expressed in terms of storage processesAsmussen, Søren; Petersen, Søren Schock · Advances in Applied Probability · 1988
Parallel Computing, Failure Recovery, and Extreme ValuesAndersen, Lars Nørvang; Asmussen, Søren · Journal of Statistical Theory and Practice · 2008
Rare Events Simulation for Heavy-Tailed DistributionsSøren Asmussen, Klemens Binswanger and Bjarne Højgaard · Bernoulli · 2000
Ladder height distributions with marksSøren Asmussen; Volker Schmidt · 1995
Regenerative simulation of TES processesSøren Asmussen; Benjamin Melamed · 1994
Bilateral conjunctival oxygen tension measurementsJan Asmussen; Søren Gellett; Hans Pilegaard; Finn Gottrup · 1993
Editorial introductionSøren Asmussen; Onno J. Boxma · 2009
Surrounding RisksSteffensen, Mogens · Risks · 2013
Optimal Reinsurance: A Risk Sharing ApproachBalbas, Alejandro; Balbas, Beatriz; Balbas, Raquel · Risks · 2013
A Welfare Analysis of Capital InsurancePanttser, Ekaterina; Tian, Weidong · Risks · 2013
U.S. Equity Mean-Reversion ExaminedLiew, Jim; Roberts, Ryan · Risks · 2013
Model Risk in Portfolio OptimizationStefanovits, David; Schubiger, Urs; Wüthrich, Mario · Risks · 2014
Tail Risk in Commercial Property InsuranceBiffis, Enrico; Chavez, Erik · Risks · 2014
A Markov Chain Model for ContagionDassios, Angelos; Zhao, Hongbiao · Risks · 2014
Acknowledgement to Reviewers of Risks in 2014Risks Editorial Office, · Risks · 2015