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Andrew Chernih
Andrew Chernih
Unknown affiliation
Verified email at andrewch.com
Title
Cited by
Cited by
Year
Wang’s capital allocation formula for elliptically contoured distributions
EA Valdez, A Chernih
Insurance: Mathematics and Economics 33 (3), 517-532, 2003
1072003
Asset correlations: shifting tides
A Chernih, S Vanduffel, L Henrard
DTEW-AFI_0620, 1-15, 2006
472006
Wendland functions with increasing smoothness converge to a Gaussian
A Chernih, IH Sloan, RS Womersley
Advances in Computational Mathematics 40, 185-200, 2014
462014
A note on the suboptimality of path-dependent pay-offs in Lévy markets
S Vanduffel, A Chernih, M Maj, W Schoutens
Applied Mathematical Finance 16 (4), 315-330, 2009
402009
Closed form representations and properties of the generalised Wendland functions
A Chernih, S Hubbert
Journal of Approximation Theory 177, 17-33, 2014
302014
Reconciling credit correlations
A Chernih, L Henrard, S Vanduffel
Journal of Risk Model Validation 4 (2), 2010
282010
Multiscale methods with compactly supported radial basis functions for Galerkin approximation of elliptic PDEs
A Chernih, QT Le Gia
IMA Journal of Numerical Analysis 34 (2), 569-591, 2014
182014
Multiscale methods with compactly supported radial basis functions for the Stokes problem on bounded domains
A Chernih, QT Le Gia
Advances in Computational Mathematics 42 (5), 1187-1208, 2016
15*2016
Multiscale methods with compactly supported radial basis functions for the Stokes problem on bounded domains
A Chernih, QT Le Gia
Advances in Computational Mathematics 42 (5), 1187-1208, 2016
132016
Multiscale Wendland radial basis functions and applications to solving partial differential equations
A Chernih
UNSW Sydney, 2013
52013
Beyond correlations: The use and abuse of copulas in economic capital calculations
A Chernih, M Maj, S Vanduffel
Belgian Actuarial Bulletin 7 (1), 2007
52007
L Hernard (2006)‘Asset correlation: a literature review and analysis of the impact of dependent loss given defaults’
A Chernih, S Vanduffel
Catholic University of Leuven, 2006
42006
Geoadditive hedonic pricing models
A Chernih, M Sherris
UNSW Australian School of Business Working Paper, 2004
42004
Impact of Proximate Public Assets and Infrastructure on Private Real Property Values: Stage 2 Report
A Chernih, M Sherris
University of New South Wales, 2003
42003
Stress-testing the Impact of Group Dependence on Credit Portfolio Risk
S Vanduffel, B Aver, A Chernih, L Henrard, C Ribas
STRESS-TESTING FOR FINANCIAL INSTITUTIONS, Harald Scheule, Daniel Rösch, eds …, 2009
22009
On retirement income replacement ratios
EA Valdez, A Chernih
Faculty of Commerce & Economics, School of Actuarial Studies, The University …, 2003
22003
Empirical Estimation of Dependence in a Portfolio of Insurance Claims-Preliminaries
EA Valdez, A Chernih
Mathematics and Economics 33, 517-532, 2003
22003
The inefficiency of Constant Proportion Portfolio Insurance
A Chernih, M Maj, W Schoutens, S Vanduffel
12008
On the suboptimality of path-dependent pay-offs in Lévy markets
S Vanduffel, A Chernih, W Schoutens
DTEW-AFI_0712, 1-15, 2007
2007
On the sub-optimality of path-dependent pay-offs in general Lévy markets
S Vanduffel, W Schoutens, A Chernih
International Actuarial Meeting on Risk Measurement and Solvency, Location …, 2007
2007
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