Search Results - subject:"Risk"

Breugem, Matthijs; Corvino, Raffaele; Marfè, Roberto; … - 2024

Persistent link: https://www.econbiz.de/10014521079

Law-invariant return and star-shaped risk measures

Laeven, Roger J. A.; Rosazza Gianin, Emanuela; Zullino, … - In: Insurance : mathematics and economics 117 (2024), pp. 140-153

Persistent link: https://www.econbiz.de/10015066962

Multinomial backtesting of distortion risk measures

Bettels, Sören; Kim, Sojung; Weber, Stefan - In: Insurance : mathematics and economics 119 (2024), pp. 130-145

Persistent link: https://www.econbiz.de/10015067217

Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking

Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428

Persistent link: https://www.econbiz.de/10015057498

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

A model for risk adjustment (IFRS 17) for surrender risk in life insurance

Carlehed, Magnus - In: Risks : open access journal 11 (2023) 3, pp. 1-22

We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to … approximations of risk measures, such as quantiles, for the total portfolio. These formulas are easy to program and enable an … insurance company to calculate its risk adjustment without time-consuming simulations. …

Persistent link: https://www.econbiz.de/10014303652

Bounding the Impact of Hazard Interdependence on Climate Risk

Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus - 2023

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk …. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of …/Snow, Landslide, Tornado, and Wildfire. We empirically estimate the tail risk of multi-hazard portfolios for the limiting cases of …

Persistent link: https://www.econbiz.de/10014355193

The fundamental review of the trading book : implications for portfolio and risk management in the banking sector

McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of money, credit and banking : JMCB 55 (2023) 7, pp. 1785-1816

Persistent link: https://www.econbiz.de/10014436097

Saddlepoint approximations for credit portfolio distributions with applications in equity risk management

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014518798

Good risk measures, bad statistical assumptions, ugly risk forecasts

Michaelides, Michael; Poudyal, Niraj - In: The financial review : the official publication of the … 59 (2024) 2, pp. 519-543

Persistent link: https://www.econbiz.de/10014543997