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pro vyhledávání: '"De Waegenaere, A.M.B."'
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Akademický článek
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Existing literature regarding the natural hedge potential that arises from combining liabilities with different sensitivities focuses on the optimal liability mix, but does not address the question whether and how changes in the liability mix can be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::5ddb1f3eee4aee3ac1afbe85a48512ca
https://research.tilburguniversity.edu/en/publications/666aa6f1-2d07-413c-90da-a42439e28290
https://research.tilburguniversity.edu/en/publications/666aa6f1-2d07-413c-90da-a42439e28290
Autor:
Antonio, K., van der Heijden, A.M.J.H., Meijer, R.E.V., Smit, C.T., Tornij, J.H., de Vries, R.W.J., de Waegenaere, A.M.B., van Zijp, P.P.C.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::f8b72a755de7d09d175db33cec657032
https://dare.uva.nl/personal/pure/en/publications/prognosetafel-ag-20122062(c1781973-3714-46e5-b55f-00ec52a02ba7).html
https://dare.uva.nl/personal/pure/en/publications/prognosetafel-ag-20122062(c1781973-3714-46e5-b55f-00ec52a02ba7).html
This paper analyzes risk capital allocation problems. For risk capital allocation problems, the aim is to allocate the risk capital of a firm to its divisions. Risk capital allocation is of central importance in risk-based performance measurement. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::c3d6d2228b334962576b2c41f99d58c2
https://research.tilburguniversity.edu/en/publications/2c502ef8-76f0-47f5-ab45-1833b5f41103
https://research.tilburguniversity.edu/en/publications/2c502ef8-76f0-47f5-ab45-1833b5f41103
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be sub
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::1c07306c1338c31acedc470a1be28c65
https://research.tilburguniversity.edu/en/publications/a3e07689-4b6b-4987-852c-38003a8777e5
https://research.tilburguniversity.edu/en/publications/a3e07689-4b6b-4987-852c-38003a8777e5
Publikováno v:
European Journal of Operational Research, 200(3), 788-799. Elsevier Science BV
In a deposit game coalitions are formed by players combining their capital. The proceeds of their investments then have to be divided among those players. The current model extends earlier work on capital deposits by allowing reinvestment of returns.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::74ef814dcf5730a3ee32bc3178f9fcc7
https://research.tilburguniversity.edu/en/publications/f18b6381-e4e5-46cd-b681-72c962ede02b
https://research.tilburguniversity.edu/en/publications/f18b6381-e4e5-46cd-b681-72c962ede02b
Publikováno v:
Insurance: Mathematics & Economics, 46(1), 222-234. Elsevier Science BV
We consider defined benefit pension plans that, at retirement age, allow the participant to choose between a single life annuity and a joint and survivor annuity. We compare two plans that differ in terms of how pension rights are accrued. In one pla
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::11a1059e940522b8ca3709557fa5e344
https://research.tilburguniversity.edu/en/publications/f1710005-9152-444e-9942-7e94f64f3d5a
https://research.tilburguniversity.edu/en/publications/f1710005-9152-444e-9942-7e94f64f3d5a
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::860167bbef28bf351cb71b326eb9713c
https://research.tilburguniversity.edu/en/publications/f9231521-fea7-4524-8fea-83ece004ab49
https://research.tilburguniversity.edu/en/publications/f9231521-fea7-4524-8fea-83ece004ab49
Autor:
De Waegenaere, A.M.B., Sansing, R.
Publikováno v:
National Tax Journal, 63, 1085-1109. National Tax Association
We investigate the effects of inconsistent transfer prices on the location and efficiency of capital investments made by multinational firms in a competitive equilibrium. Inconsistent transfer prices create the potential for double taxation. We exami
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::2089e818aaace6c20e543db2b7888037
https://research.tilburguniversity.edu/en/publications/d6ccae64-1687-4141-b619-d770323fe376
https://research.tilburguniversity.edu/en/publications/d6ccae64-1687-4141-b619-d770323fe376