Ales Ahcan

University of Ljubljana - Faculty of Economics

Kardeljeva ploscad 17

Ljubljana, 1000

Slovenia

SCHOLARLY PAPERS

10

DOWNLOADS

1,293

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

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

Number of pages: 13 Posted: 08 Mar 2007
University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics and University of Ljubljana
Downloads 260 (218,672)

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

2.

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
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 249 (228,346)
Citation 1

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

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 202 (278,263)

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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
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 169 (326,077)
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
University of Ljubljana - Faculty of Economics, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 107 (466,737)

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

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

Number of pages: 34 Posted: 18 Jul 2012
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 58 (680,145)

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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
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 30 (885,990)

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

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 61 (663,037)

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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 27 (914,028)
Citation 3

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

8.

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 83 (550,493)

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

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 47 (733,080)

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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