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subject:"Portfolio-Management"
subject:"Theorie"
~accessRights:"restricted"
~person:"Brandtner, Mario"
~person:"Chi, Yichun"
~person:"Mao, Tiantian"
~person:"Mitic, Peter"
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Search: subject_exact:"Risk management"
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Portfolio-Management
Theorie
Risikomanagement
24
Risk management
23
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20
Risk measure
20
Theory
19
Risiko
14
Risk
14
Portfolio selection
13
Measurement
10
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10
Statistical distribution
8
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8
Reinsurance
7
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7
loss distribution
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3
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operational risk
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Brandtner, Mario
Chi, Yichun
Mao, Tiantian
Mitic, Peter
Wang, Ruodu
14
Tan, Ken Seng
9
Boonen, Tim J.
8
Broll, Udo
7
Hammoudeh, Shawkat
7
Wu, Desheng Dash
7
Chen, An
6
Embrechts, Paul
6
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6
Guillén, Montserrat
6
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6
Härdle, Wolfgang
6
Olson, David L.
6
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5
Bernard, Carole
5
Cai, Jun
5
Cossette, Hélène
5
Marceau, Etienne
5
Mensi, Walid
5
Migueis, Marco
5
Prigent, Jean-Luc
5
Righi, Marcelo Brutti
5
Rüschendorf, Ludger
5
Tang, Qihe
5
Yang, Fan
5
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4
Bouri, Elie
4
Cheng, T. C. E.
4
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4
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4
Farkas, Walter
4
Feng, Runhuan
4
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4
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4
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Insurance / Mathematics & economics
6
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4
The journal of operational risk
2
The journal of risk model validation
2
ASTIN bulletin : the journal of the International Actuarial Association
1
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1
Journal of banking & finance
1
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1
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ECONIS (ZBW)
22
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1
Optimal risk management with reinsurance and its counterparty risk hedging
Chi, Yichun
;
Hu, Tao
;
Huang, Yuxia
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 274-292
Persistent link: https://www.econbiz.de/10014466216
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
Credible value-at-risk
Mitic, Peter
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
Saved in:
4
An insurer's optimal strategy towards a new independent business
Chi, Yichun
;
Huang, Yuxia
;
Tan, Ken Seng
- In:
Scandinavian actuarial journal
2024
(
2024
)
1
,
pp. 89-107
Persistent link: https://www.econbiz.de/10014519973
Saved in:
5
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
6
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
7
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:
8
Enhancing an insurer's expected value by reinsurance and external financing
Chi, Yichun
;
Liu, Fangda
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 466-484
Persistent link: https://www.econbiz.de/10012793937
Saved in:
9
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
10
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
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