Irene Schreiber

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

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276

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4

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-Prime Crisis

Number of pages: 17 Posted: 26 Oct 2009 Last Revised: 25 Jun 2012
affiliation not provided to SSRN, affiliation not provided to SSRN, Technische Universität München (TUM) and Passau University
Downloads 276 (131,802)
Citation 4

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credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK

2.

Risk‐Minimization for Life Insurance Liabilities with Dependent Mortality Risk

Mathematical Finance, Vol. 27, Issue 2, pp. 505-533, 2017
Number of pages: 29 Posted: 28 May 2020
Francesca Biagini, Camila Botero and Irene Schreiber
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 0 (773,710)
Citation 3
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life insurance liabilities, unit‐linked life insurance, stochastic mortality, random field, dependent mortality risk, affine mortality structure, risk‐minimization, martingale representation