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subject:"ARCH model"
~person:"Bali, Turan G."
~person:"Mao, Tiantian"
~subject:"Statistical distribution"
~type:"article"
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Bali, Turan G.
Mao, Tiantian
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ECONIS (ZBW)
11
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1
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
2
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:
3
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
4
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
Saved in:
5
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
6
Extreme value behavior of aggregate dependent risks
Chen, Die
;
Mao, Tiantian
;
Pan, Xiaoqing
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
50
(
2012
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
Saved in:
7
Risk measurement performance of alternative distribution functions
Bali, Turan G.
;
Theodossiou, Panayiotis
- In:
The journal of risk and insurance : the journal of the …
75
(
2008
)
2
,
pp. 411-437
Persistent link: https://www.econbiz.de/10003713595
Saved in:
8
The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
Bali, Turan G.
;
Mo, Hengyong
;
Tang, Yi
- In:
Journal of banking & finance
32
(
2008
)
2
,
pp. 269-282
Persistent link: https://www.econbiz.de/10003647212
Saved in:
9
A generalized extreme value approach to financial risk measurement
Bali, Turan G.
- In:
Journal of money, credit and banking : JMCB
39
(
2007
)
7
,
pp. 1613-1649
Persistent link: https://www.econbiz.de/10003549211
Saved in:
10
Disturbing extremal behavior of spot rate dynamics
Bali, Turan G.
;
Neftci, Salih N.
- In:
Journal of empirical finance
10
(
2003
)
4
,
pp. 455-477
Persistent link: https://www.econbiz.de/10001782291
Saved in:
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