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An Economic Premium Principle
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An Economic Premium Principle (1980)An Economic Premium PrincipleAsymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Asymptotics for risk capital …Modeling Mortality With Jumps: Applications to Mortality Securitization (2009)Modeling Mortality With Jumps…Weighted risk capital allocations (2008)Weighted risk capital allocat…Spectral Risk Measures: Properties and Limitations (2008)Spectral Risk Measures: Prope…An Extension of Arrow's Result on Optimal Reinsurance Contract (2008)An Extension of Arrow's Resul…Actuarial risk measures for financial derivative pricing (2007)Actuarial risk measures for f…Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization (2006)Multivariate Exponential Tilt…Insurance Risk and Ruin (2005)Insurance Risk and RuinPerspectives of Risk Sharing (2002)Perspectives of Risk SharingA Universal Framework for Pricing Financial and Insurance Risks (2002)A Universal Framework for Pri…Actuarial versus Financial Pricing of Insurance (2000)Actuarial versus Financial Pr…Utility Functions (1998)Utility FunctionsNo-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Actuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …On convex principles of premium calculation (1985)On convex principles of premi…The General Economic Premium Principle (1984)The General Economic Premium …The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Capital Market Equilibrium with Restricted Borrowing (1972)Coherent Measures of Risk (1999)Weighted Pricing Functionals With Applications to Insurance (2009)Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2016)An Intertemporal Capital Asset Pricing Model (1973)Survivor Swaps (2006)Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)On the pricing of longevity-linked securities (2009)“Options, Futures, and Other Derivatives” (2016)Mathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)Optimal insurance under Wang’s premium principle (1999)Optimal reinsurance under mean-variance premium principles (2001)Modelling Extremal Events (1997)An Equilibrium Model of Catastrophe Insurance Futures and Spreads (1999)Stochastic programming models for asset liability management (2008)Copula approaches for modeling cross-sectional dependence of data breach losses (2018)Theory of Martingales (1989)Continuous Martingales and Brownian Motion (1999)The minimal entropy martingale measures for geometric L�vy processes (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)Loss Models: From Data to Decisions (1999)Stochastic Processes for Insurance and Finance (2001)On a risk model with dependence between interclaim arrivals and claim sizes (2006)The compound binomial risk model with time-correlated claims (2006)Gerber–Shiu Risk Theory (2013)Theory of Value: An Axiomatic Analysis of Economic Equilibrium (1960)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Modeling and Forecasting U. S. Mortality (1992)Dynamic Asset Pricing Theory. (1993)Brownian Motion and Stochastic Calculus (2007)Mortality Regimes and Pricing (2011)Longevity/Mortality Risk Modeling and Securities Pricing (2012)Modeling and forecasting mortality rates (2013)Theory of Games and Economic Behavior (1946)Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)Premium Principles (2004)
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  • 2005Insurance Risk and Ruin264 cited
  • 2002A Universal Framework for Pricing Financial and Insurance Risks257 cited
  • 1985On convex principles of premium calculation191 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited
  • 1984The General Economic Premium Principle173 cited
  • 1998Utility Functions164 cited
  • 2008Weighted risk capital allocations139 cited
  • 2000Actuarial versus Financial Pricing of Insurance127 cited
  • 2009Modeling Mortality With Jumps: Applications to Mortality Securitization124 cited
  • 2011Asymptotics for risk capital allocations based on Conditional Tail Expectation109 cited
  • 2006Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization101 cited
  • 2002Perspectives of Risk Sharing101 cited
  • 2008An Extension of Arrow's Result on Optimal Reinsurance Contract89 cited
  • 2008Spectral Risk Measures: Properties and Limitations88 cited

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  • 2007Actuarial risk measures for financial derivative pricing81 cited