Cover Image

The PEAL Method: a mathematical framework to streamline securitization structuring

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Pinto, Andrea, Scala, Antonio
Format:	Preprint
Published:	2024
Subjects:	Risk Management General Finance Portfolio Management 91B28, 91B30, 91G30, 91G80
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
by: Havrylenko, Yevhen, et al.
Published: (2022)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
by: Arratia, Argimiro, et al.
Published: (2025)

Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws
by: Fleck, Andrew, et al.
Published: (2024)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)

Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
by: Gnoatto, Alessandro, et al.
Published: (2023)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
by: Liang, Gechun, et al.
Published: (2023)

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
by: Tam, Brandon, et al.
Published: (2026)

Accelerated Computations of Sensitivities for xVA
by: Deelstra, Griselda, et al.
Published: (2022)

A note on continuity and asymptotic consistency of measures of risk and variability
by: Gao, Niushan, et al.
Published: (2024)

Nash Equilibria in Greenhouse Gas Offset Credit Markets
by: Welsh, Liam, et al.
Published: (2024)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Decrease of capital guarantees in life insurance products: can reinsurance stop it?
by: Escobar-Anel, Marcos, et al.
Published: (2021)

Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)

Quantifying A Firm's AI Engagement: Constructing Objective, Data-Driven, AI Stock Indices Using 10-K Filings
by: Ante, Lennart, et al.
Published: (2025)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

High order universal portfolios
by: Turinici, Gabriel
Published: (2023)

Consistent asset modelling with random coefficients and switches between regimes
by: Wolf, Felix L., et al.
Published: (2024)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

Asymptotic methods for transaction costs
by: Mayerhofer, Eberhard
Published: (2024)

Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)

Robust optimal consumption, investment and reinsurance for recursive preferences
by: Dadzie, Elizabeth, et al.
Published: (2025)

On a fundamental statistical edge principle
by: Gastaldi, Tommaso
Published: (2024)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)

A new approach to the theory of optimal income tax
by: Kolokoltsov, Vassili N., et al.
Published: (2024)

Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)

Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)

No Fear of Discounting How to Manage the Transition from EONIA to ESTR
by: Bianchetti, Marco, et al.
Published: (2025)

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
by: Feys, Frank M. V.
Published: (2026)

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
by: Chong, Wing Fung, et al.
Published: (2024)

Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)

Risk Management with Tail Quasi-Linear Means
by: Bäuerle, Nicole, et al.
Published: (2019)

Foundations of a Time-Consistent Counterfactual Actuarial Runtime for Autonomous AI Agents
by: Chen, Hao-Hsuan
Published: (2026)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
by: Silotto, Lorenzo, et al.
Published: (2021)

Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
by: Kopeliovich, Yaacov, et al.
Published: (2024)

Robust Optimal Investment and Reinsurance Problems with Learning
by: Bäuerle, Nicole, et al.
Published: (2020)