Ales Ahcan

University of Ljubljana - Faculty of Economics

Kardeljeva ploscad 17

Ljubljana, 1000

Slovenia

  • University of Ljubljana - Faculty of Economics

SCHOLARLY PAPERS

10

DOWNLOADS

1,104

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (10)

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1.

An Explicit Option - Based Strategy that Outperforms Dollar Cost Averaging

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 19 Posted: 26 Jul 2011 Last Revised: 23 Aug 2011
Steven Vanduffel, Ales Ahcan, Luc Henrard and Mateusz Maj
Vrije Universiteit Brussel (VUB), University of Ljubljana - Faculty of Economics, BNP Paribas and Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences
Downloads 235 (200,202)
Citation 1

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lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform

2.

Analytical Approximation for a Multi-Period Portfolio Problem With Vector Autoregressive Returns

Number of pages: 13 Posted: 08 Mar 2007
Ales Ahcan, Saao Polanec, Igor Masten and Mihael Perman
University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics and University of Ljubljana
Downloads 232 (202,703)

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Taylor conditioned approximation, vector autoregressive returns, multi-period portfolio return

3.

Statistical Analysis of Model Risk Concerning Temperature Residuals and its Impact on Pricing Weather Derivatives

Number of pages: 24 Posted: 17 Apr 2010
Ales Ahcan
University of Ljubljana - Faculty of Economics
Downloads 181 (254,304)

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Weather Derivatives, Levy Models, Asymmetric ARCH, Model Risk

4.

Forecasting Mortality for Small Populations by Mixing Mortality Data

Number of pages: 33 Posted: 01 Aug 2013
Ales Ahcan, Darko Medved, Annamaria Olivieri and Ermanno Pitacco
University of Ljubljana - Faculty of Economics, JMD Consulting Ltd, University of Parma - Dipartimento di Scienze Economiche e Aziendali and MIB Trieste School of Management
Downloads 130 (333,438)
Citation 1

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Mortality projections, Mortality trends, Multi-population mortality models

5.

Terminal Wealth Problem Under Uncertainty: How to Choose the Right Asset Mix in Case of Dependent Random Payments

Number of pages: 31 Posted: 06 Mar 2007
Ales Ahcan, Grzegorz Darkiewicz and Tom Hoedemakers
University of Ljubljana - Faculty of Economics, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 97 (409,684)

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portfolio selection, constant mix strategy, Black&Scholes model, ALM, comonotonicity

6.

Social Security and Retirement During Transition: Microeconometric Evidence from Slovenia

Downloads 69 (500,933)
Citation 2

Social Security and Retirement During Transition: Microeconometric Evidence from Slovenia

LICOS Discussion Paper No. 221/2008
Number of pages: 27 Posted: 25 Nov 2008
Ales Ahcan and Saao Polanec
University of Ljubljana - Faculty of Economics and University of Ljubljana - Faculty of Economics
Downloads 54 (574,837)

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retirement, option value, social security wealth, transition

Social Security and Retirement During Transition: Microeconometric Evidence from Slovenia

ENEPRI Research Report No. 58
Number of pages: 29 Posted: 24 Mar 2012
Ales Ahcan and Saao Polanec
University of Ljubljana - Faculty of Economics and University of Ljubljana - Faculty of Economics
Downloads 15 (846,803)
Citation 2

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social security, retirement, Slovenia, old-age, ageing

7.

Default Prediction with the Merton-Type Structural Model Based on the NIG Lévy Process

Journal of Computational and Applied Mathematics, Forthcoming
Number of pages: 21 Posted: 07 Sep 2016 Last Revised: 19 Jan 2017
Matej Jovan and Ales Ahcan
Abanka d. d. and University of Ljubljana - Faculty of Economics
Downloads 61 (533,305)

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Default Prediction; Structural Models; Lévy Process; Normal Inverse Gaussian Distribution

8.

Evolution of Private Returns to Tertiary Education During Transition: Evidence from Slovenia

Downloads 57 (550,877)

Evolution of Private Returns to Tertiary Education During Transition: Evidence from Slovenia

Number of pages: 34 Posted: 18 Jul 2012
Tjaša Bartolj, Ales Ahcan, Aljoša Feldin and Saao Polanec
University of Ljubljana - Faculty of Economics. Institute for Economic Research, University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics and University of Ljubljana - Faculty of Economics
Downloads 40 (653,047)

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returns to education, tertiary education, fields of study, mincerian regressions

Evolution of Private Returns to Tertiary Education During Transition: Evidence from Slovenia

Number of pages: 34 Posted: 14 Jun 2013
Tjaša Bartolj, Ales Ahcan, Aljosa Feldin and Saao Polanec
University of Ljubljana - Faculty of Economics. Institute for Economic Research, University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics and University of Ljubljana - Faculty of Economics
Downloads 17 (828,107)

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Returns to Education, Tertiary Education, Fields of Study, Mincerian Regressions

9.

Comonotonic Approximations for a General Pension Problem

Number of pages: 20 Posted: 12 Aug 2010
Ales Ahcan
University of Ljubljana - Faculty of Economics
Downloads 42 (626,605)

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Investment Strategy, Pension Problematic, Comonotonic Approximations

10.

A General Framework for Solving Optimal Reinsurance Problems

Posted: 31 Aug 2010
Ales Ahcan
University of Ljubljana - Faculty of Economics

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optimal reinsurance, risk measures, premium principles