Russell J. Gerrard

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

631

SSRN CITATIONS
Rank 45,817

SSRN RANKINGS

Top 45,817

in Total Papers Citations

6

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

Failure Probability Under Parameter Uncertainty

The final version of this article appeared as: Gerrard R. J., Tsanakas, A. (2011), 'Failure probability under parameter uncertainty,' Risk Analysis: An International Journal, Vol. 31, No. 4, pp.727-744
Number of pages: 35 Posted: 11 Oct 2009 Last Revised: 03 Jan 2014
Russell J. Gerrard and Andreas Tsanakas
City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 274 (121,956)

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solvency, Value-at-Risk, insurance, parameter uncertainty, location-scale families

2.

Tail Dependence Measure for Examining Financial Extreme Co-Movements

Journal of Econometrics, 2016, 194(2), 330-348
Number of pages: 32 Posted: 09 Jan 2014 Last Revised: 16 Aug 2016
Alexandru Vali Asimit, Russell J. Gerrard, Yanxi Hou and Liang Peng
Cass Business School, City, University of London, City University London - Sir John Cass Business School, Georgia Institute of Technology - Mathematics and Georgia State University - Risk Management & Insurance Department
Downloads 211 (157,990)
Citation 5

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Asymptotic dependence and independence; Copula; Extreme co-movement; Kendall's tau; Measure of association.

3.

On the Worst and Least Possible Asymptotic Dependence

Journal of Multivariate Analysis, Vol. 144, pp. 218-234.
Number of pages: 23 Posted: 01 May 2015 Last Revised: 13 Mar 2017
Alexandru Vali Asimit and Russell J. Gerrard
Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 71 (355,524)

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Asymptotic dependence/independence, Copula, Extreme Value Theory, Gumbel Tail, Regular Variation, Risk measure

4.

Hedging of Asian Options under Exponential Lévy Models: Computation and Performance

The European Journal of Finance, 2017, 23(4), 297-323
Number of pages: 42 Posted: 12 Jun 2012 Last Revised: 11 Feb 2019
Laura Ballotta, Russell J. Gerrard and Ioannis Kyriakou
Sir John Cass Business School - City, University of London, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 56 (401,225)
Citation 1

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Arithmetic Asian options, Discrete monitoring, Price sensitivities, Lévy processes, Hedging error, Model misspecification

5.

Communication and Personal Selection of Pension Saver’s Financial Risk

European Journal of Operational Research, 2019, 274(3), 1102-1111
Number of pages: 22 Posted: 06 Nov 2019
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 12 (620,318)
Citation 1

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Investment Analysis, Finance, Utility Theory, Risk Management, OR in Banking

6.

Self-Selection and Risk Sharing in a Modern World of Life-Long Annuities

British Actuarial Journal, 2018, 23, e30
Number of pages: 23 Posted: 25 Feb 2019
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 7 (655,555)

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Pension, Life-long Optimal Investment Strategy, Customer Communication