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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Statistische Verteilung"
~subject:"Welt"
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Search: subject_exact:"Expected tail loss"
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McAleer, Michael
10
Jiménez-Martín, Juan-Ángel
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Pérez Amaral, Teodosio
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Asai, Manabu
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ECONIS (ZBW)
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1
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
Saved in:
2
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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3
Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria
;
Navarro, Jorge
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
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4
Focussed selection of the claim severity distribution
Wang, Yinzhi
;
Hobæk Haff, Ingrid
- In:
Scandinavian actuarial journal
2019
(
2019
)
2
,
pp. 129-142
Persistent link: https://www.econbiz.de/10012194941
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5
Extending composite loss models using a general framework of advanced computational tools
Grün, Bettina
;
Miljkovic, Tatjana
- In:
Scandinavian actuarial journal
2019
(
2019
)
8
,
pp. 642-660
Persistent link: https://www.econbiz.de/10012194987
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6
On additivity of tail comonotonic risks
Cheung, Ka Chun
;
Ling, Hok Kan
;
Tang, Qihe
;
Yam, Sheung …
- In:
Scandinavian actuarial journal
2019
(
2019
)
10
,
pp. 837-866
Persistent link: https://www.econbiz.de/10012195005
Saved in:
7
Conditional risk measures in a bipartite market structure
Kley, Oliver
;
Klüppelberg, Claudia
;
Reinert, Gesine
- In:
Scandinavian actuarial journal
(
2018
)
4
,
pp. 328-355
Persistent link: https://www.econbiz.de/10011881106
Saved in:
8
Multivariate geometric expectiles
Herrmann, Klaus J.
;
Hofert, Marius
;
Mailhot, Mélina
- In:
Scandinavian actuarial journal
(
2018
)
7
,
pp. 629-659
Persistent link: https://www.econbiz.de/10011939715
Saved in:
9
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
Wang, Xing
;
Liu, Qing
;
Hou, Yanxi
;
Peng, Liang
- In:
Scandinavian actuarial journal
(
2018
)
8
,
pp. 661-680
Persistent link: https://www.econbiz.de/10011939722
Saved in:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619566
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