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Grenoble Ecole de Management
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Madoff, split-strike conversion strategy, performance measurement
Household finance, structured products, retail investor, locally-capped contracts
Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.
Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas
Stochastic Dominance, Efficiency Cost, Expected Utility Optimization, Portfolio Choice
Parisian Options, Monte Carlo, Discrete Monitoring, Control Variate, Early Exercise, Executive Stock Options, Mr. Thain.
Cumulative Prospect Theory, Portfolio Choice, Behavioral Finance, Omega Measure
optimal insurance design, rank-dependent expected utility, inverse-S shaped probability distortion, indemnity, quantile formulation, deductible
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File name: MAFI.
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optimal insurance design, rank‐dependent expected utility, inverse‐S shaped probability distortion, indemnity, quantile formulation, deductible
Change of Numéraire, HJM model, Barrier Option, Markovian Approximation
Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm
File name: JORI.
Model Risk, VaR, TVaR, variance, tail dependence, tail correlation
cost-efficiency, optimal design, Black-Scholes
Optimal Insurance Design, Multiplicative background risk, Counterparty risk, Reinsurance market, Stop-loss Insurance
Asian options, Tse and Mok formula, pricing
Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model
bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints
Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing
Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap
Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model
Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints
Exchange options, Stochastic interest rates
Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem
Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio
Stochastic dominance, Moment space, s-convex order, Value-at-Risk
reinsurance market, optimal design, insurance policies, intermediation, risk management, risk sharing, basis risk, moral hazard, securitization, reinsurance premium
Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle
Executive stock options, Parisian options, Optimal compensation
Variable annuities, pricing, GMMB, dynamic hedging, surrender behavior
Variable annuities, pricing, GMMB, GMDB, surrender option
Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law
Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law
Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance
factor models, risk aggregation, dependence uncertainty, Value-at-Risk
Variable annuities, Optimal surrender, GMMB, GMSB
First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure
Copulas, Fréchet-Hoeffding bounds, Capital requirements
File name: jori.
optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization
Portfolio choice, Omega ratio, ill-posedness
Participating Contracts, CPPI, Equity Default Swap, Market Valuation
Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation
Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk
variable annuity, ﬂexible premium, GMAB, GMDB, Asian options, conditioning
Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant
Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions
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