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Details about Vladimir K. Kaishev

Homepage:http://www.cass.city.ac.uk/faculty/v.kaishev/index.html
Workplace:Cass Business School, City University, (more information at EDIRC)

Access statistics for papers by Vladimir K. Kaishev.

Last updated 2014-11-13. Update your information in the RePEc Author Service.

Short-id: pka248


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Journal Articles

2014

  1. Lookback option pricing using the Fourier transform B-spline method
    Quantitative Finance, 2014, 14, (5), 789-803 Downloads View citations (2)

2013

  1. Dependent competing risks: Cause elimination and its impact on survival
    Insurance: Mathematics and Economics, 2013, 53, (2), 464-477 Downloads View citations (5)

2010

  1. Optimal joint survival reinsurance: An efficient frontier approach
    Insurance: Mathematics and Economics, 2010, 47, (1), 27-35 Downloads View citations (10)

2009

  1. Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
    Management Science, 2009, 55, (3), 483-496 Downloads View citations (7)

2008

  1. GeD spline estimation of multivariate Archimedean copulas
    Computational Statistics & Data Analysis, 2008, 52, (7), 3570-3582 Downloads View citations (11)

2007

  1. Modelling the joint distribution of competing risks survival times using copula functions
    Insurance: Mathematics and Economics, 2007, 41, (3), 339-361 Downloads View citations (7)

2006

  1. Excess of loss reinsurance under joint survival optimality
    Insurance: Mathematics and Economics, 2006, 39, (3), 376-389 Downloads View citations (16)

2001

  1. An improved finite-time ruin probability formula and its Mathematica implementation
    Insurance: Mathematics and Economics, 2001, 29, (3), 375-386 Downloads View citations (17)

1989

  1. Optimal experimental designs for the B-spline regression
    Computational Statistics & Data Analysis, 1989, 8, (1), 39-47 Downloads View citations (5)
 
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