Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times

Author:

Targino Rodrigo S.ORCID,Peters Gareth W.,Sofronov Georgy,Shevchenko Pavel V.

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Commonwealth Scientific and Industrial Research Organisation

Institute of Statistical Mathematics

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Reference37 articles.

1. Aase KK (1993) Equilibrum in a reinsurance syndicate: existence, uniquiness and characterization. ASTIN Bull 23(2):185–211

2. Allen L, Boudoukh J, Saunders A (2009) Understanding market, credit, and operational risk: the value at risk approach. Wiley

3. Arrow KJ (1953) Le rôle des valeurs boursières pour la répartition la meilleure des risques. Colloques Internationaux du Centre National de la Recherche Scientifique 11:41–47

4. Arrow KJ (1965) Aspects of the theory of risk-bearing. Yrjö Jahnssonin Säätiö

5. Bazzarello D, Crielaard B, Piacenza F, Soprano A (2006) Modeling insurance mitigation on operational risk capital. J Oper Risk 1(1):57–65

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