LEADER 01466nam2-2200409li-450 001 990000210880203316 005 20180312154822.0 010 $a3-540-60381-6 035 $a0021088 035 $aUSA010021088 035 $a(ALEPH)000021088USA01 035 $a0021088 100 $a20001109d1995----km-y0itay0103----ba 101 0 $aeng 102 $aGW 200 1 $aConditional and typed rewriting systems$e4th International workshop, CTRS-94$eJerusalem, Israel, July 13-15, 1994$eproceedings$fNachum Dershowitz ... [etc.] (eds.) 210 $aBerlin [etc.]$cSpringer-Verlag$dcopyr. 1995 215 $aVIII, 373 p.$cill.$d24 cm. 225 2 $aLecture notes in computer science$v968 410 0$10010020264$12001$aLecture notes in computer science 610 1 $acongressi$agerusalemme$a1994 610 1 $ascrittura elettronica$acongressi$a1994 676 $a6525$9. 702 1$aDershowitz,$bNachum 710 12$aInternational workshop CTRS-94$d4.$eGerusalemme$f1994$0753692 801 $aSistema bibliotecario di Ateneo dell' Universitą di Salerno$gRICA 912 $a990000210880203316 951 $a001 LNCS (968)$b0018717$c001$d00103751 959 $aBK 969 $aSCI 979 $c19960405 979 $c20001110$lUSA01$h1714 979 $aALANDI$b90$c20010131$lUSA01$h1634 979 $c20020403$lUSA01$h1629 979 $aPATRY$b90$c20040406$lUSA01$h1615 996 $aConditional and typed rewriting systems$91516236 997 $aUNISA LEADER 12661nam 22007453 450 001 9910349465003321 005 20220207155334.0 010 $a981-327-256-2 010 $a981-327-255-4 035 $a(CKB)4100000007656353 035 $a(MiAaPQ)EBC6383181 035 $a(Au-PeEL)EBL6383181 035 $a(OCoLC)1231605086 035 $a(oapen)https://directory.doabooks.org/handle/20.500.12854/50288 035 $a(oapen)doab50288 035 $a(EXLCZ)994100000007656353 100 $a20220207d2018 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aInnovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference 210 $cWorld Scientific Publishing Co$d2018 210 1$aSingapore :$cWorld Scientific Publishing Company,$d2018. 210 4$d©2019. 215 $a1 online resource (469 pages) 327 $aIntro -- Contents -- Foreword -- Preface -- About the Editors -- Part I. Innovations in Risk Management -- 1. Behavioral Value Adjustments for Mortgage Valuation -- 1. Introduction -- 2. Literature review -- 3. A general framework for modeling behavioral risk -- 3.1. Defining behavioral risk -- 3.2. A general framework in parallel with credit risk -- 3.3. Behavioral risk adjustments -- 3.4. A general formula for portfolio valuation -- 4. Mortgage portfolio valuation with BIX model -- 4.1. Heterogeneity and granularity -- 4.2. Market factors -- 4.3. Exogenous factors -- 4.4. Marginal exercise probabilities -- 4.5. Hints for calibration -- 4.6. Survival exercise probabilities -- 4.7. Portfolio pricing -- 4.7.1. Expression for II0(X) -- 4.7.2. Expression for II1(X) -- 4.7.3. Expression for II2(X) -- 4.8. Simulation -- 5. Conclusion -- 6. Appendix -- References -- 2. Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Optionsin Default Intensity Models -- 1. Introduction -- 2. Call and put risk-neutral dynamics -- 3. Expected positive exposures under no WWR -- 4. Expected positive exposures under WWR -- 5. Proxys of ts -- 5.1. Q-expectation -- 5.2. Approximation of QCT -expectation -- 6. Potential future exposures (PFE) -- 7. Numerical experiments -- 8. Conclusion -- References -- 3. Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall- Olkin Distribution -- 1. Introduction -- 1.1. Problem one: "Survival-of-all" events -- 1.2. Problem two: "Mixed default/survival" events -- 1.3. Structure of the paper -- 2. Default-time distributions and survival-indicator processes -- 2.1. Markovian survival indicator-processes -- 2.2. Lack-of-memory properties -- 3. Problem one: Iterating "survival-of-all -- 3.1. Lack-of-memory properties revisited. 327 $a3.2. Change in dependence when iterating non-self chaining copulas -- 4. Problem two: "Mixed default/survival" events -- 4.1. The looping default model and the Freund distribution -- 4.2. Marshall-Olkin distributions -- 4.3. Case study: Iteration bias for selected multivariate distributions -- 5. Conclusions -- Appendix A. Alternative construction of Markovian processes -- Acknowledgments -- References -- 4. Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default -- 1. Introduction -- 1.1. Overview of the modeling framework -- 2. A PDE approach for both FX-driven and equity-driven WWR -- 2.1. FX -- 2.1.1. No-arbitrage drift for the market risk-factor (FX) -- 2.1.2. Final conditions - CVA payoff -- 2.2. Equity -- 2.2.1. No-arbitrage drift for the market risk-factor (equity) -- 2.2.2. Final conditions - CVA payoff -- 3. A structural approach for equity/credit WWR -- 3.1. AT1P -- 3.1.1. Credit risk -- 3.1.2. Equity price -- 3.2. Introducing WWR -- 4. Results -- 4.1. Models calibrations -- 4.2. Equity WWR: Correlation impact -- 4.3. Equity WWR: Devaluation impact -- 4.4. FX WWR: FX Vega -- 5. Conclusions -- References -- 5. Implied Distributions from Risk-Reversals and Brexit/Trump Predictions -- 1. Introduction -- 2. Literature Review -- 3. Method -- 4. Results -- 4.1. 2016 Brexit referendum -- 4.2. 2016 US election - Trump -- 4.3. 2017 French elections -- 4.4. 2017 UK general election -- 5. Conclusions -- References -- 6. Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach -- 1. Introduction -- 2. DR-expectations -- 2.1. Data-robust risk measures -- 3. Regularization from data -- 4. Heavy tails -- 4.1. Expected shortfall -- 4.2. Value at risk -- 4.3. Probability of loss -- 4.4. Integrated tail and Cramer-Lundberg failure probability -- 4.5. Distortion risk -- Appendix -- Acknowledgments -- References. 327 $a7. Intrinsic Risk Measures -- 1. Introduction -- 2. Terminology and preliminaries -- 2.1. Acceptance sets -- 2.2. Traditional risk measures -- 2.2.1. Coherent risk measures -- 2.2.2. Convex risk measures -- 2.2.3. Cash-subadditivity and quasi-convexity of risk measures -- 2.2.4. General monetary risk measures -- 3. Intrinsic risk measures -- 3.1. Fundamental concepts -- 3.2. Representation on conic acceptance sets -- 3.3. Efficiency of the intrinsic approach -- 3.4. Dual representations on convex acceptance sets -- 4. Conclusion -- Bibliography -- 8. Pathwise Construction of Affine Processes -- 1. Introduction -- 2. Preliminaries -- 2.1. Notation -- 2.2. Affine processes -- 2.3. Towards the multivariate Lamperti transform -- 2.4. Affine processes of Heston type -- 3. Existence of the solution of the time-change equation -- 3.1. The setting -- 3.2. The core of the proof -- 3.2.1. Approximation of the vector field -- 3.2.2. The algorithm -- 4. Pathwise construction of affine processes with time-change -- Bibliography -- Part II. Innovations in Insurance and Asset Management -- 9. Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis -- 1. Introduction -- 2. Hedge fund fee structures: From traditional fee structures to negative fees -- 2.1. Traditional fee structures -- 2.2. From first-loss to negative first-loss fee structure -- 3. Pricing the payoffs -- 4. Risk analysis of the investor's position as a bond -- 4.1. Impact of the manager's deposit c -- 5. Conclusion -- References -- 10. Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models -- 1. Introduction -- 2. Discrete time trading with information flow -- 2.1. Model formulation with cost based criterion -- 2.2. Permanent market impact: Optimal adapted solution -- 2.3. Permanent market impact: Optimal deterministic solution. 327 $a2.4. Permanent market impact: Adapted vs deterministic solution -- 3. Continuous time trading with risk function -- 3.1. Model formulation with cost and risk based criterion -- 3.2. Optimal adapted solution under temporary and permanent impact -- 3.3. Optimal static solution under temporary and permanent impact -- 3.4. Comparison of optimal static and adapted solutions -- 4. Conclusions and further research -- References -- 11. Liability Driven Investments with a Link to Behavioral Finance -- 1. Introduction -- 2. A model for assets and liabilities -- 3. Expected utility framework -- 3.1. The optimization problem -- 4. Extension to cumulative prospect theory -- 4.1. The optimization problem -- 4.2. Probability distortion function -- 5. Comparison -- 5.1. Partial surplus optimization -- 5.2. Connection between CPT optimization, funding ratio optimization and partial surplus optimization -- 6. Conclusion -- Acknowledgment -- Appendix A. Solution of the HJB equation -- Appendix B. Quantile optimization approach -- Appendix C. Probability distortion -- Appendix D. Replicating strategies for selected pay-offs -- Bibliography -- 12. Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model -- 1. Introduction -- 2. Regime-switching autoregressive models -- 2.1. Regime prediction -- 2.1.1. Filtering algorithm -- 2.1.2. Conditional distribution -- 2.1.3. Stationary distribution in the Gaussian case -- 2.2. Estimation of parameters -- 2.3. Goodness-of-fit test and selection of the number of regimes -- 2.4. Application to S& -- P 500 daily returns -- 3. Optimal discrete time hedging -- 3.1. Implementation issues -- 3.1.1. Using regime predictions -- 3.2. Optimal hedging vs delta-hedging -- 3.3. Simulated hedging errors -- 4. Out-of-sample vanilla pricing and hedging -- 4.1. Methodology -- 4.1.1. The underlying asset. 327 $a4.1.2. Option dataset -- 4.1.3. Backtesting -- 4.2. Empirical results -- 4.2.1. 2008-2009 Financial Crisis -- 4.2.2. 2013-2015 Bull markets -- 5. Conclusion -- Appendix A. Extension of Baum-Welch algorithm -- Appendix A.1. Estimation of regime-switching models -- Appendix B. Goodness-of-fit test for ARHMM -- Appendix B.1. Rosenblatt's transform -- Appendix B.2. Test statistic -- Appendix B.3. Parametric bootstrap algorithm -- References -- 13. Interest Rate Swap Valuation in the Chinese Market -- 1. Introduction -- 2. Pricing model -- 2.1. Dual curve discounting -- 2.2. Single curve discounting -- 2.3. Valuation difference -- 3. Candidates for the risk-free rate in the Chinese swap market -- 4. Numerical test -- 5. Conclusion -- References -- 14. On Consistency of the Omega Ratio with Stochastic Dominance Rules -- 1. Introduction -- 2. Omega ratios and stochastic dominance -- 3. Omega ratios and combined concave and convex stochastic dominance -- References -- 15. Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges -- 1. Introduction -- 2. Typical private pension products offered in Germany -- 3. Aspects of chance-risk classification concepts -- 4. Capital market model and simulation of important product ingredients -- 5. Scientific challenges and outlook -- References -- 16. Forward versus Spot Price Modeling -- 1. Introduction -- 2. Spot and forward model -- 2.1. Spot model -- 2.2. Forward model -- 2.2.1. Wealth process model -- 3. First example: CEV model -- 4. Second example: JDCEV model -- 5. Implications for modeling -- 6. Conclusion -- Appendix A. Martingale property of driving process -- Appendix B. Density of ST in JDCEV model -- References -- 17. Replication Methods for Financial Indexes -- 1. Introduction -- 2. Replication methods -- 2.1. Factorial approach for strong replication -- 2.2. Weak replication. 327 $a2.2.1. Implementation steps. 330 $aThis book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017. The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance. This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view. 517 $aInnovations in Insurance, Risk- and Asset Management 517 $aInnovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference Innovations in Insurance, Risk- and Asset Management 610 $aDynamic Hedging 610 $aUncertainty Quantification 610 $aActuarial Science 610 $aCopula 610 $aExchange-Traded Funds 610 $aAutoregressive Hidden Markov Models 610 $aFixed Income 610 $aReinsurance 610 $aStochastic Processes for Finance 610 $aRisk Measure 610 $aBayesian Finance 610 $aInsurance 610 $aReplicating Portfolio 610 $aRisk Classification 610 $aStochastic Dominance 676 $a368 700 $aGlau$b Kathrin$01075955 701 $aLinders$b Daniel$01075956 701 $aMin$b Aleksey$01075957 701 $aScherer$b Matthias$0732358 701 $aSchneider$b Lorenz$01075958 701 $aZagst$b Rudi$0147742 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910349465003321 996 $aInnovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference$92585969 997 $aUNINA