منابع مشابه
Maturity-independent risk measures (an abridged version)
Despite all the recent work in the area of risk measurement, there is still a number of theoretical, as well as practical, questions left unanswered. The one we focus on in the present paper deals with the problem one faces when the maturity (horizon, expiration date, etc.) associated with a particular risky position is not fixed. We take the view that the mechanism used to measure the risk con...
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The implementation of an enterprise-wide Service Oriented Architecture (SOA) is a complex task. In most cases, evolutional approaches are used to handle this complexity. Maturity models are a possibility to plan and control such an evolution as they allow evaluating the current maturity and identifying current shortcomings. In order to support an SOA implementation, maturity models should also ...
متن کاملA Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
The stochastic modeling and determination of reserves and risk capitals for variable annuity guarantee products are relatively new developments in the insurance industry. The current market practice is largely based on Monte Carlo simulations, which have great engineering flexibility but the demand for heavy computational power can be prohibitive in many cases. In this paper, we distinguish and...
متن کاملAn ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior∗
Using elements from the theory of ergodic backward stochastic differential equations, we study the behavior of forward entropic risk measures. We provide a general represention result and examine their behavior for risk positions of large maturities. We also compare them with their classical counterparts and derive a parity result.
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This paper explores a natural decomposition property motivated by Shorrocks (1980, Econometrica 48, 613 625) and Anand (1983, ``Inequality and poverty in Malaysia,'' Oxford University Press) that we call path independent decomposability. Between-group inequality is found by applying the inequality measure to the smoothed distribution, which replaces each income in a subgroup with its representa...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2010
ISSN: 1945-497X
DOI: 10.1137/080739732