Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Thomas Knispel"'
Publikováno v:
European Actuarial Journal. 10:203-234
We discuss the impact of risk sharing and asset–liability management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In particular, we highlight that the class of V@R-ba
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::29dfaa1333f7b150bcbfd85a9750e087
https://doi.org/10.1007/s13385-019-00219-9
https://doi.org/10.1007/s13385-019-00219-9
Publikováno v:
Insurance: Mathematics & Economics, 70, 182-195. Elsevier
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands. We first st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::caebec70ff13cd7b458488fb36f11344
https://doi.org/10.1016/j.insmatheco.2016.05.012
https://doi.org/10.1016/j.insmatheco.2016.05.012
Publikováno v:
Mathematics and Financial Economics. 7:69-91
Liquidity risk is an important type of risk, especially during times of crises. As observed by Acerbi and Scandolo (Quant Financ 8(7):681–691, 2008), it requires adjustments to classical portfolio valuation and risk measurement. Main drivers are tw
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cfa242137090065948d9b7f8c2011eeb
https://doi.org/10.1007/s11579-012-0092-3
https://doi.org/10.1007/s11579-012-0092-3
Autor:
Thomas Knispel, Hans Föllmer
Publikováno v:
Stochastics and Dynamics. 11:333-351
We study a coherent version of the entropic risk measure, both in the law-invariant case and in a situation of model ambiguity. In particular, we discuss its behavior under the pooling of independent risks and its connection with a classical and a ro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::57904002cfdd82df9eef5c19e7af99e2
https://doi.org/10.1142/s0219493711003334
https://doi.org/10.1142/s0219493711003334
Publikováno v:
Jahresbericht der Deutschen Mathematiker-Vereinigung. 113:139-172
Insurance companies are exposed to many different types of risk, in particular actuarial as well as financial risks. As a consequence, the classical actuarial principle of pooling does not provide a sufficient basis for the valuation and risk managem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f6fd1152c1d8e9025f59cab2b16dce71
https://doi.org/10.1365/s13291-011-0022-y
https://doi.org/10.1365/s13291-011-0022-y
Autor:
Thomas Knispel, Hans Föllmer
Publikováno v:
ESAIM: Probability and Statistics. 11:89-101
Expected suprema of a function f observed along the paths of a nice Markov process define an excessive function, and in fact a potential if f vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::486f065b9cda7b73342295435f09668f
https://doi.org/10.1051/ps:2007008
https://doi.org/10.1051/ps:2007008
Autor:
Thomas Knispel, Hans Föllmer
For a large homogeneous portfolio of financial positions, we study the asymptotic behavior of the capital requirement per position defined in terms of a convex monetary risk measure. In an actuarial context, this capital requirement can be seen as a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::34fac30ae37643e2df631cf2d90aac43
https://doi.org/10.1142/9789814383585_0010
https://doi.org/10.1142/9789814383585_0010
Autor:
Thomas Knispel
Publikováno v:
Ann. Appl. Probab. 22, no. 1 (2012), 172-212
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $\lambda\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control problem. Our
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7438c77b97c4322ff2e1328425eebe17
http://arxiv.org/pdf/1203.1191
http://arxiv.org/pdf/1203.1191
Autor:
Volker Wanka, Thomas Knispel
Publikováno v:
retten!. 2:4-4
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc366571397f48e5ba2346a1c7143738
https://doi.org/10.1055/s-0033-1336034
https://doi.org/10.1055/s-0033-1336034
Autor:
Hans F?llmer, Thomas Knispel
Publikováno v:
ESAIM: Probability & Statistics; Feb2007, Vol. 11 Issue 1, p89-101, 13p