Empirical tail risk management with model-based annealing random search
Year of publication: |
2023
|
---|---|
Authors: | Fan, Qi ; Tan, Ken Seng ; Zhang, Jinggong |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 110.2023, p. 106-124
|
Subject: | Conditional value at risk | Entropic value at risk | Optimization | Random search | Tail risk | Value at risk | Weather index insurance | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Risiko | Risk | Wetter | Weather | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution |
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