Keywords: من 12 سال دارم; G11; C61; 91G10; 91B16; 91E20; IE13; IM12; IE43; IE53; IB12; Mean-variance efficiency; Surplus wealth of the family; Income-replacement insurance; Lagrange dual method; Replication of assets; Dynamic programming; Nonlinear HJB equations;
مقالات ISI من 12 سال دارم (ترجمه نشده)
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در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
Keywords: من 12 سال دارم; G22; I13; IM12; IB13; Multiple state models; Transition intensities; Gompertz-Makeham; Prevalence rates; Critical illness insurance;
Keywords: من 12 سال دارم; IB10; IM12; IM13; Insurance surplus; Stochastic rates of return; AR(1) process; Distribution function;
A characterization of optimal portfolios under the tail mean-variance criterion
Keywords: من 12 سال دارم; G11; IM12; IE13; IB63; Tail conditional expectation; Tail variance; Optimal portfolio selection; Quartic equation;
Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
Keywords: من 12 سال دارم; IM11; IM12; IM30; Actuarial pricing; The Esscher pricing functional; Compound Poisson processes; Copula-based dependence;
Managing longevity and disability risks in life annuities with long term care
Keywords: من 12 سال دارم; G22; J11; IM12; IM43; IB13; IB21; Markovian multi-state model; Longevity risk; Disability risk; Solvency II; Internal models;
Copula based hierarchical risk aggregation through sample reordering
Keywords: من 12 سال دارم; IM12; IM22; IM43; IE43; IE46; C51; C58; G32; C63; G22; 91B30; 62H20; 62H86; 91G60; Hierarchical risk aggregation; Copulas; High-dimensional dependence; Iman-Conover method;
On “optimal pension management in a stochastic framework” with exponential utility
Keywords: من 12 سال دارم; IB81; G11; G23; IM12; Defined-contribution pension plan; Wage risk; Inflation; Optimal asset allocation; Exponential utility; Hamilton-Jacobi-Bellman equation;
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
Keywords: من 12 سال دارم; C13; C15; C63; IM11; IM12; IM22; Credit risk; Archimedean copula; Nested Archimedean copula; Basket default swap; Importance sampling;
Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
Keywords: من 12 سال دارم; IM12; IM20; G13; 91B28, 60G99; Basket options pricing; Local volatility jump-diffusion model; Forward PIDE; Asymptotic expansion;
On the robustness of longevity risk pricing
Keywords: من 12 سال دارم; IM12; IM50; Longevity risk; Risk-neutral method; Wang transform; Sharpe ratio rule; Robustness;
Approximate basket options valuation for a jump-diffusion model
Keywords: من 12 سال دارم; IM12; IM20; G13; 91B28; 60G99; Basket option pricing; Jump-diffusion model; Analytic approximation; Conditional moment matching;
The Markovian regime-switching risk model with a threshold dividend strategy
Keywords: من 12 سال دارم; C02; IM10; IM11; IM12; IM13; Gerber-Shiu function; Integro-differential equation; Present value of dividend payments; Regime-switching model; Threshold dividend strategy;
Random sums of exchangeable variables and actuarial applications
Keywords: من 12 سال دارم; IM10; IM11; IM12; IM52; IB90; Correlation coefficient; Collective risk model; Exchangeability; Homogeneous Markov chain; Joint probability generating function; Random sums;
Coherent risk measures, coherent capital allocations and the gradient allocation principle
Keywords: من 12 سال دارم; D81; G21; G22; IM00; IM12; IE43; Risk capital allocation; Gradient allocation principle; Coherent risk measures; Coherent capital allocations;
Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
Keywords: من 12 سال دارم; D14; D91; G11; G22; IM12; IM22; IB13; Enhanced annuity; Individual underwriting; Adverse selection;
Assessing the cost of capital for longevity risk
Keywords: من 12 سال دارم; G22; IM01; IM12; IB10; IB13; Risk reward; Embedded value; Market-consistent valuation; Risk-neutral setting; Life annuities;
A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
Keywords: من 12 سال دارم; G22; G11; IB10; IE43; IM12; Unit-linked; Local risk-minimization; Hedging strategy; Lévy process;
The compound Poisson risk model with multiple thresholds
Keywords: من 12 سال دارم; G22; IM12; IM13; Compound Poisson model; Expected discounted penalty function; Integro-differential equation; Multiple threshold strategy; Probability of ruin;
Integrating optimal annuity planning with consumption-investment selections in retirement planning
Keywords: من 12 سال دارم; IB11; C02; C61; D14; IM12; IM20; Annuity; Annuitization; Longevity risk; Risk aversion; Consumption-investment selections;
A law of large numbers approach to valuation in life insurance
Keywords: من 12 سال دارم; G10; G13; G22; 91B24; 91B28; 91B30; IM01; IM10; IM12; IM30; IB10; Hedging; Law of large numbers; Life insurance; Principle of equivalence; Valuation;
Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence
Keywords: من 12 سال دارم; IM12; Fractional Brownian motion; Fractional Itô's calculus; Fractional Black-Scholes market; Stochastic optimal control of fractional order;
The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
Keywords: من 12 سال دارم; C61; G20; IM12; IM22; Market value of liabilities; Dynamic mean-variance hedging; Equilibrium market models; Incomplete markets;
Pricing equity-linked pure endowments with risky assets that follow Lévy processes
Keywords: من 12 سال دارم; IM10; IM12; IB11; Equity-linked pure endowments; Equity indexed annuities; Indifference pricing; Exponential utility; Lévy processes; Heavy tailed distribution;
Optimal investment for insurer with jump-diffusion risk process
Keywords: من 12 سال دارم; IM12; IM50; Hamilton-Jacobi-Bellman equations; Martingale; Utility; Jump-diffusion; Ito's formula; Stochastic control;
Worst VaR scenarios
Keywords: من 12 سال دارم; G10; IM01; IM12; IM52; Value-at-Risk; Dependent risks; Copulas; Comonotonic risks;