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Insurance : mathematics and economics-Tomo 45 Número 3 - 2009

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Publicação: Insurance : mathematics and economics

Número: Tomo 45 Número 3 - 2009

Tipo: Normal

Direitos: InC

Título	Autor	Páginas
Estimating value at risk of portfolio by conditional copula-GARCH method
Correlation order, merging and diversification	Dhaene, J.
Comparative higher-degree ross risk aversion	Li, J.
Esscher transforms and consumption-based models	Badescu, A.
TVaR-based capital allocation with copulas	Bargès, M.
On ruin probability and aggregate claim representations for Pareto claim size distributions	Albrecher, H.
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes	Loisel, S.
A Perturbed risk model with dependence between premium rates and claim size	Zhou, M.
On stochastic mortality modeling	Plat, R.
Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints	Yuan, H.
Dynamic mortality factor model with conditional heteroskedasticity	Gao, Q.
Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view	Brazauskas, V.
Pricing long-dated insurance contracts with stochastic orders