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~isPartOf:"Journal of mathematical finance"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Mwita, Peter N.
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Omari, Cyprian Ondieki
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Chen, Zengjing
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Gichuhi, Antony W.
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Journal of mathematical finance
Insurance / Mathematics & economics
173
European journal of operational research : EJOR
86
Journal of banking & finance
83
Risks : open access journal
69
Journal of risk
41
Economic modelling
37
Quantitative finance
37
Finance research letters
36
Journal of empirical finance
35
International journal of forecasting
33
Discussion paper / Tinbergen Institute
30
International review of financial analysis
28
International journal of theoretical and applied finance
27
Finance and stochastics
25
Scandinavian actuarial journal
25
Journal of risk and financial management : JRFM
24
SFB 649 discussion paper
24
The journal of risk model validation
24
Applied economics
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Research paper series / Swiss Finance Institute
22
The European journal of finance
22
Computational economics
21
Journal of econometrics
21
Mathematics and financial economics
21
The journal of credit risk : published quarterly by Incisive Media
21
Journal of economic dynamics & control
20
Operations research letters
20
Astin bulletin : the journal of the International Actuarial Association
19
Journal of forecasting
19
Mathematics of operations research
19
The journal of operational risk
19
Operations research
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SpringerLink / Bücher
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Energy economics
15
Journal of risk management in financial institutions
15
Working papers
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Applied economics letters
14
Dresdner Beiträge zu quantitativen Verfahren
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Journal of financial econometrics
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1
The risk in the insurance field : a generalized analysis
Ferrentino, Rosa
;
Vota, Luca
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 200-221
Persistent link: https://www.econbiz.de/10012545597
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2
Optimal reciprocal reinsurance under GlueVaR distortion risk measures
Huang, Yuxia
;
Yin, Chuancun
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 11-24
Persistent link: https://www.econbiz.de/10012116658
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3
Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach
Orlando, Albina
;
Parker, Gary
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 349-371
Persistent link: https://www.econbiz.de/10011874781
Saved in:
4
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
5
Mathematical model of financial investment risk
Yin, Deyu
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10011846199
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6
Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
Saved in:
7
Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
8
The stochastic volatility model, regime switching and value-at-risk (VaR) in international equity markets
Assaf, Ata
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 491-512
Persistent link: https://www.econbiz.de/10011674013
Saved in:
9
The effects of long memory in price volatility of inventories pledged on portfolio optimization of supply chain finance
Juan, He
;
Wang, Jian
;
Xianglin, Jiang
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 134-155
Persistent link: https://www.econbiz.de/10011543832
Saved in:
10
Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
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