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subject:"Risikomaß"
subject:"USA"
~person:"Boonen, Tim J."
~person:"Embrechts, Paul"
~person:"Kumar, Dilip"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk management"
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Risikomaß
USA
Volatilität
Risikomanagement
28
Risk management
28
Risk measure
22
Theorie
21
Theory
21
Risiko
14
Risk
14
Portfolio selection
9
Portfolio-Management
9
Basel Accord
6
Basler Akkord
6
Volatility
6
Bank risk
5
Bankrisiko
5
Measurement
5
Messung
5
ARCH model
4
ARCH-Modell
4
Ausreißer
4
Outliers
4
Value-at-risk
4
robustness
4
Capital allocation
3
Capital income
3
Distortion risk measure
3
Estimation
3
Extreme value volatility estimator
3
Forecasting model
3
Kapitaleinkommen
3
Multivariate Verteilung
3
Multivariate distribution
3
Prognoseverfahren
3
Reinsurance
3
Risikomodell
3
Risk model
3
Rückversicherung
3
Schätzung
3
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3
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23
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2
Graue Literatur
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English
23
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Boonen, Tim J.
Embrechts, Paul
Kumar, Dilip
Wang, Ruodu
17
Hammoudeh, Shawkat
12
McAleer, Michael
11
Mao, Tiantian
10
Cai, Jun
8
Janabi, Mazin A. M. al
8
Li, Jianping
8
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Rüschendorf, Ludger
7
Bernard, Carole
6
Dionne, Georges
6
Goodwin, Barry K.
6
Hayes, Dermot James
6
Karmakar, Madhusudan
6
Mensi, Walid
6
Schuermann, Til
6
Stoja, Evarist
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Zhu, Xiaoqian
6
Brandtner, Mario
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Dias, Alexandra
5
Fabozzi, Frank J.
5
Ghorbel, Ahmed
5
Härdle, Wolfgang
5
Kouretas, Georgios P.
5
Liu, Fangda
5
Mishra, Ashok K.
5
Mitic, Peter
5
Naeem, Muhammad Abubakr
5
Polanski, Arnold
5
Yang, Fan
5
Zitikis, Ričardas
5
Al-Yahyaee, Khamis Hamed
4
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European journal of operational research : EJOR
4
Finance and stochastics
3
Insurance / Mathematics & economics
2
Operations research
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Global business review
1
Journal of banking & finance
1
Journal of quantitative economics
1
Journal of risk
1
Risks : open access journal
1
Studies in economics and finance
1
The European journal of finance
1
The Geneva risk and insurance review
1
The journal of operational risk
1
The journal of prediction markets
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
23
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1
Robust insurance design with distortion risk measures
Boonen, Tim J.
;
Jiang, Wenjun
- In:
European journal of operational research : EJOR
316
(
2024
)
2
,
pp. 694-706
Persistent link: https://www.econbiz.de/10014575576
Saved in:
2
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
3
A marginal indemnity function approach to optimal reinsurance under the Vajda condition
Boonen, Tim J.
;
Jiang, Wenjun
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 928-944
Persistent link: https://www.econbiz.de/10013364047
Saved in:
4
Risk sharing with multiple indemnity environments
Asimit, Alexandru V.
;
Boonen, Tim J.
;
Chi, Yichun
; …
- In:
European journal of operational research : EJOR
295
(
2021
)
2
,
pp. 587-603
Persistent link: https://www.econbiz.de/10013205971
Saved in:
5
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
6
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
7
A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.
;
De Waegenaere, Anja
;
Norde, Henk
- In:
European journal of operational research : EJOR
282
(
2020
)
1
,
pp. 277-287
Persistent link: https://www.econbiz.de/10012157603
Saved in:
8
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
9
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
10
Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.
;
Tsanakas, Andreas
;
Wüthrich, Mario V.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
Saved in:
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