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Actuarial versus Financial Pricing of Insurance
16 references·14 citing·34 second hop
Actuarial versus Financial Pricing of Insurance (2000)Actuarial versus Financial Pricing of Ins…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Coherent Measures of Risk (1999)Coherent Measures of RiskMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Modelling Extremal Events (1997)Modelling Extremal EventsMartingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An introduction to mathematical risk theory (1979)An introduction to mathematic…Equilibrium in a Reinsurance Market (1962)Equilibrium in a Reinsurance …Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology (2020)Dynamic structural percolatio…Copula approaches for modeling cross-sectional dependence of data breach losses (2018)Copula approaches for modelin…Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency (2017)Fair valuation of insurance l…It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events (2016)It’s not now or never: Implic…Esscher transforms and consumption-based models (2009)Esscher transforms and consum…Stochastic programming models for asset liability management (2008)Stochastic programming models…Premium Calculation and Insurance Pricing (2008)Premium Calculation and Insur…Asset and liability modelling for participating policies with guarantees (2007)Asset and liability modelling…Hedging with a correlated asset: Solution of a nonlinear pricing PDE (2006)Hedging with a correlated ass…Stochastic orders in dynamic reinsurance markets (2004)Stochastic orders in dynamic …On Valuation and Risk Management at the Interface of Insurance and Finance (2002)On Valuation and Risk Managem…Stochastic processes in insurance and finance (2001)Stochastic processes in insur…Life Insurance Contracts with Embedded Options (2001)Life Insurance Contracts with…An Equilibrium Model of Catastrophe Insurance Futures and Spreads (1999)An Equilibrium Model of Catas…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? 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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1979An introduction to mathematical risk theory914 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1962Equilibrium in a Reinsurance Market700 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited

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Cited by

  • 1999An Equilibrium Model of Catastrophe Insurance Futures and Spreads76 cited
  • 2018Copula approaches for modeling cross-sectional dependence of data breach losses74 cited
  • 2008Stochastic programming models for asset liability management69 cited
  • 2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency54 cited
  • 2002On Valuation and Risk Management at the Interface of Insurance and Finance48 cited
  • 2016It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events42 cited
  • 2007Asset and liability modelling for participating policies with guarantees37 cited
  • 2001Life Insurance Contracts with Embedded Options35 cited
  • 2020Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology31 cited
  • 2008Premium Calculation and Insurance Pricing31 cited
  • 2004Stochastic orders in dynamic reinsurance markets26 cited
  • 2009Esscher transforms and consumption-based models25 cited
  • 2006Hedging with a correlated asset: Solution of a nonlinear pricing PDE25 cited
  • 2001Stochastic processes in insurance and finance21 cited