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Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
Bartels, Mariana; Ziegelmann, Flávio A. - In: Insurance / Mathematics & economics 70 (2016), pp. 66-79
Persistent link: https://www.econbiz.de/10011597172
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Optimal investment under VaR-Regulation and Minimum Insurance
Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209
Persistent link: https://www.econbiz.de/10011825449
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Which eligible assets are compatible with comonotonic capital requirements?
Koch Medina, Pablo; Munari, Cosimo-Andrea; Svindland, Gregor - In: Insurance / Mathematics & economics 81 (2018), pp. 18-26
Persistent link: https://www.econbiz.de/10011904606
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Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108
Persistent link: https://www.econbiz.de/10011712409
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Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás; Nedényi, Fanni K.; Sütő, László - In: Insurance / Mathematics & economics 108 (2023), pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
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Avoiding zero probability events when computing value at risk contributions
Koike, Takaaki; Saporito, Yuri; Targino, Rodrigo - In: Insurance / Mathematics & economics 106 (2022), pp. 173-192
Persistent link: https://www.econbiz.de/10013380509
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Optimal retention for a stop-loss reinsurance with incomplete information
Hu, Xiang; Yang, Hailiang; Lianzeng, Zhang - In: Insurance / Mathematics & economics 65 (2015), pp. 15-21
Persistent link: https://www.econbiz.de/10011422850
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A directional multivariate value at risk
Torres, Raúl; Lillo, Rosa E.; Laniado, Henry - In: Insurance / Mathematics & economics 65 (2015), pp. 111-123
Persistent link: https://www.econbiz.de/10011422886
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Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186
Persistent link: https://www.econbiz.de/10011428649
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The loss given default of a low-default portfolio with weak contagion
Wei, Li; Yuan, Zhongyi - In: Insurance / Mathematics & economics 66 (2016), pp. 113-123
Persistent link: https://www.econbiz.de/10011442721