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isPartOf:"The VaR implementation handbook"
subject:"Risk measure"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Life insurance"
~subject:"Value-at-Risk"
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Risk measure
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Risk management
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Mao, Tiantian
6
Cossette, Hélène
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Hu, Taizhong
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Sherris, Michael
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Tan, Ken Seng
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Wang, Ruodu
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Cai, Jun
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The VaR implementation handbook
Insurance / Mathematics & economics
Risks : open access journal
64
Journal of banking & finance
52
European journal of operational research : EJOR
42
Journal of risk
40
Finance research letters
31
Economic modelling
27
Energy economics
27
The journal of operational risk
27
The North American journal of economics and finance : a journal of financial economics studies
23
The journal of risk model validation
23
International review of financial analysis
22
Journal of risk management in financial institutions
22
Quantitative finance
21
International review of economics & finance : IREF
16
International journal of theoretical and applied finance
15
Journal of risk and financial management : JRFM
15
The journal of risk and insurance : the journal of the American Risk and Insurance Association
15
Applied economics
14
Discussion paper / Tinbergen Institute
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Finance and stochastics
13
International journal of forecasting
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Research paper series / Swiss Finance Institute
13
The European journal of finance
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Journal of empirical finance
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SpringerLink / Bücher
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Astin bulletin : the journal of the International Actuarial Association
10
Computational economics
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Research in international business and finance
10
Scandinavian actuarial journal
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
International journal of finance & economics : IJFE
9
Journal of mathematical finance
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Pacific-Basin finance journal
9
The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
112
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1
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
2
Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao
;
Zou, Zhenfeng
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
Saved in:
3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
4
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
5
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
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6
Systemic risk : conditional distortion risk measures
Dhaene, Jan
;
Laeven, Roger J. A.
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
Saved in:
7
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
8
Risk transference constraints in optimal reinsurance
Balbás de la Corte, Alejandro
;
Balbás, Beatriz
; …
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 27-40
Persistent link: https://www.econbiz.de/10013198321
Saved in:
9
Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang
;
Chen, Yu
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
Saved in:
10
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
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