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題名:投資型保險保證給付風險之衡量:同調風險衡量值的介紹與應用
書刊名:保險專刊
作者:楊曉文 引用關係黃泓智 引用關係鄭宇宏
作者(外文):Yang, Sharon S.Huang, Hong-chihCheng, Yu-hung
出版日期:2004
卷期:20:2
頁次:頁159-181
主題關鍵詞:同調風險衡量值變形函數保證年金選擇權Coherent risk measureDistortion functionsGuaranteed annuity options
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:10
期刊論文
1.Wilkie, A. D.、Waters, H. R.、Yang, S. S.(2003)。Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Option。British Actuarial Journal,9(2),263-391。  new window
2.Wang, S. S.(1996)。Premium calculation by transforming the layer premium density。ASTIN Bulletin,26(1),71-92。  new window
3.Wang, S. S.(2000)。A class of distortion operators for pricing financial and insurance Risks。The Journal of Risk and Insurance,67(1),15-36。  new window
4.Wirch, J. L.(1999)。Raising value at risk。North American Actuarial Journal,3(2),106-115。  new window
5.Artzner, P.(1999)。Application of coherent risk measures to capital requirements in insurance。North American Actuarial Journal,3(2),11-25。  new window
6.Boyle, P. P.、Hardy, M. R.(1997)。Reserving for Maturity Guarantees: Two Approaches。Insurance: Mathematics and Economics,21(2),113-127。  new window
7.Wirch, J. L.、Hardy, M. R.(1999)。A Synthesis of Risk Measures for Capital Adequacy。Insurance: Mathematics and Economic,25,337-347。  new window
8.Maturity Guarantees Working Party(1980)。Report of the Maturity Guarantees Working Party。Journal of the Institute of Actuaries,107,103-209。  new window
9.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。  new window
10.Wilkie, A. D.(1995)。More on a Stochastic Asset Model for Actuarial Use。British Actuarial Journal,1(5),777-964。  new window
11.CMIB(1978)。Proposed Standard Tables for Life Office Pensioner and Annuitants。Continuous Mortality Investigation Reports,3,1-31。  new window
12.楊曉文(2003)。應用隨機模擬方法提存投資型保險之保證風險:以保證年金選擇權為例。精算學報,26(2),28-45。  延伸查詢new window
13.CMIB(1998)。Proposed New Tables for Life Office Pensioner, Normal, Male and Female, Based on the 1991-94 Experience。Continuous Mortality Investigation Reports,16,113-142。  new window
14.Hardy, M.(2000)。Hedging and Reserving for Single-Premium for Segregated Fund Contracts。North American Actuarial Journal,4(2),63-75。  new window
15.Wang, S. S.(1995)。Insurance Pricing and Increased Limits Ratemaking by Proportional Hazards Transforms。Insurance: Mathematics and Economics,17(1),43-54。  new window
16.Wang, S. S.(1996)。Ordering of Risks under PH-transforms。Insurance: Mathematics and Economics,18(2),109-114。  new window
17.Wang, S. S.、Young, V.(1998)。Ordering Risks: Expected Utility Theory versus Yarri's Dual Theory of Risk。Insurance: Mathematics and Economics,22,145-161。  new window
18.Artzner, Philippe、Delbaen, Freddy、Eber, Jean-Marc、Heath, David(1999)。Coherent measures of risk。Mathematical Finance,9(3),203-228。  new window
會議論文
1.Wirch, J. L.、Hardy, M.(2002)。Distortion Risk Measures: Coherence and Stochastic Dominance。Sixth International Congress on Insurance: Mathematics and Economics。  new window
 
 
 
 
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