Montagne Du Parc 3
in Total Papers Downloads
in Total Papers Citations
Solvency II, Basel II, KMV, MKMV, Asset Correlation, Credit Risk, Economic Capital, VaR
Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model
Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion
lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform
Lognormal, random sum, Asian options, conditional expectation, Lower bound, Annuities,
Asian option, closed- form, analytical, annuity, fast approximation, lognormal, maximal variance, conditional expectation
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