Computing bounds on the expected payoff of Alternative Risk Transfer products-Reference-Cited by-同舟云学术

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Computing bounds on the expected payoff of Alternative Risk Transfer products

Published:2012-09 Issue:2 Volume:51 Page:271-281
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Villegas Andrés M.,Medaglia Andrés L.,Zuluaga Luis F.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference32 articles.

1. Aon Capital Markets, 2008. Insurance-Linked Securities 2008: Innovation and Investor Demand Set the Stage for Continued Growth.

2. On the relation between option and stock prices: an optimization approach;Bertsimas;Operations Research,2002

3. Introduction to Linear Optimization;Bertsimas,1997

4. The ART of dependence modelling: the latest advances in correlation analysis;Blum,2002

5. Portfolio selection with skewness;Boyle,2005

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