61, avenue de la foret noire
Strasbourg, Alsace 3000
France
University of Strasbourg
SSRN RANKINGS
in Total Papers Citations
supervisory provision, solvency capital requirement, solvency II
arbitrage, fundamental theorem of asset pricing, insurance valuation, variable annuities, hybrid products, equity-linked life insurance, enlargement of filtration, affine processes, longevity risk, corona crisis, QP-rule
optimal replicating portfolio, required solvency capital, free capital
cost of capital, 'Fremd’'- versus ‘Eigen’ - capital (own funds), optimal replicating portfolio, regulated market, risk margin, solvency capital requirement, time consistency
Lattice module over L1, dual module, Dedekind-completeness, Namioka-Klee theorem, subdifferentiability, Orlicz module
asymptotic stability of risk assessments, construction by generators, local test probabilities, robust representation, time-consistency
Phase-type distributions, Recursions for compound variables
Discrete multivariate phase variables, Recursions for multivariate compound variables
