| No. |
Title |
Author |
|
1 |
Solvency, Capital Allocation and Fair Rate of Return in Insurance
|
Sherris, M., (2004) |
|
2 |
On Tail Conditional Variance and Tail Covariances. (Paper
to be presented at the 8th International Congress in Insurance:
Mathematics & Economics, Rome, Italy, June 2004.) |
Valdez, E.A. (2004) |
|
3 |
Tail Conditional Variance for Elliptically Contoured Distributions
(Paper to be included as part of a short course on "Risk Measures
and Optimal Portfolio Selection" with J. Dhaene at the 3rd Conference
in
Actuarial Science and Insurance in Samos, Greece, September
2004) |
Valdez, E.A. (2004) |
|
4 |
Risk-Based Regulatory Capital for Insurers: A Case Study
(Paper presented at the 14th Annual AFIR Colloquium, Boston,
November 2004) |
Sutherland-Wong, C. and Sherris, M. (2004) |
|
5 |
Geoadditive Hedonic Pricing Models |
Andrew Chernih and Michael Sherris (2004) |
|
| 6 |
The Iterated Tail Conditional Expectation for the Log-Elliptical
Loss Process (paper to be presented at the 3rd Conference in
Actuarial Science and Finance in Samos, Greece, September 2004.) |
Valdez, E.A. (2004) |
|
7 |
Insurance and Asset Pricing in Incomplete Markets with Heavy
Tailed Risks. |
Zinoviy Landsman and Michael Sherris (2004) |
|
| 8 |
The Stochastic Discount Factor for the Exponential Utility
Capital Asset Pricing Model.
|
Mark Johnston (2004) |
|
9 |
On the Martingale Property of Stochastic Exponentials |
Bernard Wong and C C Heyde |
|
10 |
Insurance Pricing and Capitalisation Given Market Incompleteness
and Frictional Costs. |
Mark Johnston (2004) |
|
11 |
Capital Allocation in Insurance: Economic Capital and the
Allocation of the Default Option Value. (Paper presented at
the 39th Actuarial Research Conference, University of Iowa,
August 2004 and the 14th Annual AFIR Colloquium, Boston, November
2004) |
Michael Sherris and John van der Hoek (2004) |
|
12 |
Claim Dependence with Common Effects in Credibility Models |
Yeo Keng Leong and Emiliano A. Valdez |
|
13 |
Measuring capital requirement for operational risk using
the compound Cox process with shot noise intensity: VaR and
TCE (presented at the 8th International Congress on Insurance:
Mathematics & Economics, Rome, Italy) |
Jang, J. (2004) |
|
14 |
Measuring default premiums using the Cox process with shot
noise intensity (presented at the 3rd World Congress of the
Bachelier Finance Society, Chicago, USA) |
Jang, J. (2004) |
|
15 |
Measuring capital charge for a credit loan portfolio: VaR
and TCE (presented at the 8th Asia-Pacific Risk and Insurance
Association Annual Conference, Seoul, Korea)
|
Jang, J. (2004) |
|
16 |
Enhancing Insurer Value Through Reinsurance Optimization |
Yuriy Krvavych and Michael Sherris (2004) |
|
17 |
Spatial Risk Smoothing |
Andrew Chernih and Michael Sherris (2004) |
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