Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference

Edited by Kathrin Glau, Daniël Linders, Aleksey Min, Matthias Scherer, Lorenz Schneider and Rudi Zagst

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: Innovations in Insurance, Risk- and Asset Management

Keywords: Insurance; Actuarial Science; Risk Measure; Reinsurance; Copula; Replicating Portfolio; Bayesian Finance; Risk Classification; Stochastic Dominance; Dynamic Hedging; Autoregressive Hidden Markov Models; Exchange-Traded Funds; Uncertainty Quantification; Fixed Income; Stochastic Processes for Finance (search for similar items in EconPapers)
JEL-codes: G22 G32 (search for similar items in EconPapers)
Date: 2018
ISBN: 9789813272552
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https://www.worldscientific.com/worldscibooks/10.1142/11051 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Behavioral Value Adjustments for Mortgage Valuation , pp 3-25

M. Bissiri and R. Cogo

Ch 2 Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models , pp 27-45

Damiano Brigo, Thomas Hvolby and Frédéric Vrins

Ch 3 Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution , pp 47-93

Damiano Brigo, Jan-Frederik Mai, Matthias Scherer and Henrik Sloot

Ch 4 Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default , pp 95-115

Damiano Brigo and Nicola Pede

Ch 5 Implied Distributions from Risk-Reversals and Brexit/Trump Predictions , pp 117-134

Iain J. Clark and Saeed Amen

Ch 6 Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach , pp 135-162

Samuel N. Cohen

Ch 7 Intrinsic Risk Measures , pp 163-184

Walter Farkas and Alexander Smirnow

Ch 8 Pathwise Construction of Affine Processes , pp 185-213

Nicoletta Gabrielli and Josef Teichmann

Ch 9 Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis , pp 217-238

Mohammad Shakourifar, Ranjan Bhaduri, Ben Djerroud, Fei Meng, David Saunders and Luis Seco

Ch 10 Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models , pp 239-273

Damiano Brigo and Clément Piat

Ch 11 Liability Driven Investments with a Link to Behavioral Finance , pp 275-311

Ludwig Brummer, Markus Wahl and Rudi Zagst

Ch 12 Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model , pp 313-348

Massimo Caccia and Bruno Rémillard

Ch 13 Interest Rate Swap Valuation in the Chinese Market , pp 349-365

Wei Cui, Min Dai, Steven Kou, Yaquan Zhang, Chengxi Zhang and Xianhao Zhu

Ch 14 On Consistency of the Omega Ratio with Stochastic Dominance Rules , pp 367-380

Bernhard Klar and Alfred Müller

Ch 15 Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges , pp 381-398

Ralf Korn and Andreas Wagner

Ch 16 Forward versus Spot Price Modeling , pp 399-420

Jan-Frederik Mai

Ch 17 Replication Methods for Financial Indexes , pp 421-448

Bruno Rémillard, Bouchra Nasri and Malek Ben-Abdellatif

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