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Vrije Universiteit Brussel (VUB)
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Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London
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Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas
Solvency II, Basel II, KMV, MKMV, Asset Correlation, Credit Risk, Economic Capital, VaR
Model Risk, VaR, TVaR, variance, tail dependence, tail correlation
Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model
Basel II, KMV, Asset Correlations, Default Correlations
Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm
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Embedded Value, MCEV, Fair Value, Cash Flow Projections, Business Valuation, Profits, Cash Flows
Copula, Economic Capital, Basel II, Solvency II, Correlations, Value-at-Risk
High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF beta, Localized Hayashi-Yoshida, Index tracking
cost-efficiency, optimal design, Black-Scholes
Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing
comonotonicity, copula, dependence, solvency, Basel II, Solvency II, Value-at-Risk, Tail Value-at-Risk
Stochastic dominance, Moment space, s-convex order, Value-at-Risk
Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion
risk measures, coherency, CTE
Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio
bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints
factor models, risk aggregation, dependence uncertainty, Value-at-Risk
economic capital, aggregation, Solvency II, Basel II, VaR
Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant
Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform
Portfolio choice, Omega ratio, Ill-posedness
Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints
lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform
Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing
Risk measures, Coherency, Comonotonicity, Lognormal, Pension, Annuities
Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk
Conditional distribution, Covariance, Regression
Lognormal, Sum of random variables, Reciprocal Gamma, Annuities, Value-at-Risk
Capital allocation, CTE, risk measure, coherent allocation, elliptical
Lognormal, random sum, Asian options, conditional expectation, Lower bound, Annuities,
Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm
Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall
conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization
Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance
Asian option, closed- form, analytical, annuity, fast approximation, lognormal, maximal variance, conditional expectation
Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk
Optimal portfolio selection, State-dependent preferences, Conditional distribution, Yaari’s dual theory of choice, Incompleteness
comontonicity, dependence, copula, correlation, sums of random variables
Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution
risk measure, coherency, solvency, value-at-risk, subadditive
Breakdown value, High-dimensional data, Regularization, Robust covariance estimation
default correlation, loss correlation, comonotonicity, credit risk, LGD, Solvency II, Basel II
variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning
BAC, Covariance, ETF, Python, R
utility function, Stein's lemma, mean-variance optimization, Multivariate Generalized Hyperbolic distribution (MGH)
Multiple policyholders, systematic risk, coinsurance, indifference price, insurance supply, public policy
optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization
Optimal Portfolio selection, Comonotonicity, asset allocation, Merton, constant mix
Stochastic Clock, Lévy Markets, Conditional Expectation, Gaussian Quadrature, Margrabe’s Formula
Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty
Model risk, Value-at-Risk, Tail Value-at-Risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds
Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis
Bounds, Dependence, Exponential Dispersion Family
First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure
Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function
convex order, elicitability, coherence, dependence
Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory
Stein's lemma, bounds, lognormal, pricing
Preferences, Optimization, Hoeffding-Fréchet bounds.
Asian style options, conditional expectation, control variates, stochastic clock
Decision analysis, fair allocation of indivisible goods, minimum envy.
Risk management, Solvency, Comonotonicity, Sample Average Approximation
Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty
Steins lemma, Stein-type inequality, multivariate elliptical distribution, inadmissibility, Chernoff-type inequality
Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS
Simulation, random correlation matrices, dependence, multivariate normal
