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An Option-Based Operational Risk Management on Pandemics
Option-Based Operational Risk Management on Pandemics This paper employs the theory of real option pricing ... pricing to address problems in the area of operational risk management. Particularly, it develops a two-stage ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Operational risks
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Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast ... securitization. Hedge funds;Mortality modeling;Mortality risk; 14328 1/1/2008 12:00:00 AM ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
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Pricing Mortality-linked Securities with Dependent Lives Under the Multivariate Threshold Life Table
Lives Under the Multivariate Threshold Life Table This is the abstract for the presentation on pricing mortality-linked ... mortality-linked securities with dependent lives under the multivariate threshold life table. Abstract; 14499 ...- Authors: Samuel Cox, Hua Chen, Wen Jian
- Date: Jul 2010