2 citations · 4 across the 10 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
q-fin.RM2018
Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing
Mitja Stadje
In this paper we analyze a dynamic recursive extension of the (static) notion of a deviation measure and its properties. We study distribution invariant deviation measures and show…
q-fin.MF2018
Optimal investment for participating insurance contracts under VaR-Regulation
Thai Nguyen, Mitja Stadje
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortali…