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CNKI学位论文(10)
在“
Elsevier电子期刊
”中,
命中:
7
条,耗时:小于0.01 秒
在所有数据库中总计命中:
10
条
1.
Intens
it
y-based framework for surrender modeling in life insurance
作者:
Vincenzo Russo
a
;
russovincent@gmail.com
;
Rosella
Giacometti
b
;
rosella
.
giacometti
@unibg.
it
;
Frank J. Fabozzi
c
;
frank.fabozzi@edhec.edu
关键词:
C02
;
C60
;
G22
;
G32
刊名:Insurance: Mathematics and Economics
出版年:2017
2.
Factor decompos
it
ion of the Eurozone sovereign CDS spreads
作者:
Frank J. Fabozzi
a
;
frank.fabozzi@edhec.edu" class="auth_mail" t
it
le="E-mail the corresponding author
;
Rosella
Giacometti
b
;
Naoshi Tsuchida
c
;
&dagger
;
关键词:
Independent component analysis
;
Cred
it
default swap
;
Eurozone sovereign debt crisis
;
Redenomination risk
刊名:Journal of International Money and Finance
出版年:2016
3.
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortal
it
y rates
作者:
Rosella
Giacometti
a
;
rosella
.
giacometti
@unibg.
it
;
Marida Bertocchi
a
;
marida.bertocchi@unibg.
it
;
Svetlozar T. Rachev
b
;
c
;
d
;
e
;
rachev@k
it
.edu
;
Frank J. Fabozzi
f
;
frank.fabozzi@edhec.edu
;
fabozzi321@aol.com
关键词:
C51
;
C52
;
C53
;
C59
;
G22
刊名:Insurance: Mathematics and Economics
出版年:2012
4.
Calibrating affine stochastic mortal
it
y models using term assurance premiums
作者:
Vincenzo Russo
a
;
vincenzo.russo@unibg.
it
"" rel=""nofollow
;
Rosella
Giacometti
a
;
rosella
.
giacometti
@unibg.
it
"" rel=""nofollow
;
Sergio Ortobelli
a
;
sergio.ortobelli@unibg.
it
"" rel=""nofollow
;
Svetlozar Rachev
b
;
c
;
d
;
rachev@ams.sunysb.edu"" rel=""nofollow
;
Frank J. Fabozzi
e
;
frank.fabozzi@yale.edu"" rel=""nofollow
;
fabozzi321@aol.com"" rel=""nofollow
关键词:
Affine stochastic models
;
Bootstrapping
;
Calibration
;
Stochastic force of mortal
it
y
;
Mortal
it
y risk
;
Term assurance
;
Vasicek model
;
Cox–
;
Ingersoll–
;
Ross model
;
Jump-extended Vasicek model
刊名:Insurance: Mathematics and Economics
出版年:2011
5.
On pricing of cred
it
spread options
作者:
Giacometti
;
Rosella
;
Teocchi
;
Mariangela
关键词:
Finance
;
Cred
it
spread options
;
Stochastic processes
;
Mean reversion
;
Simulation
刊名:European Journal of Operational Research
出版年:2005
6.
Risk factor analysis and portfolio immunization in the corporate bond market
作者:
Bertocchi
;
Marida
;
Giacometti
;
Rosella
;
Zenios
;
Stavros A.
刊名:European Journal of Operational Research
出版年:2005
7.
A nonparametric model for analysis of the EURO bond market
作者:
Abaffy
;
Jozsef
;
Bertocchi
;
Marida
;
Dupacová
;
J
it
ka
;
Giacometti
;
Rosella
;
Hu&scaron
;
ková
;
Marie
;
et. al.
关键词:
F33
;
F36
;
E43
;
EURO bond market
;
Nonparametric regression
;
Two-stage model
;
Test of country effects
刊名:Journal of Economic Dynamics and Control
出版年:2003
1
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