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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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A toolkit for robust risk assessment using F-divergences
Kruse, Thomas; Schneider, Judith Christiane; Schweizer, … - In: Management science : journal of the Institute for … 67 (2021) 10, pp. 6529-6552
Persistent link: https://www.econbiz.de/10012666706
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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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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Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
Lin, Tzuling; Tsai, Cary Chi-Liang - In: Insurance / Mathematics & economics 66 (2016), pp. 44-58
Persistent link: https://www.econbiz.de/10011442674
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions
Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83
Persistent link: https://www.econbiz.de/10011492465
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An order of asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich; Stehling, Katharina; Stoimenov, … - In: Insurance / Mathematics & economics 68 (2016), pp. 241-247
Persistent link: https://www.econbiz.de/10011493850
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Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
Bosserhoff, Frank; Stadje, Mitja - In: Insurance / Mathematics & economics 100 (2021), pp. 130-146
Persistent link: https://www.econbiz.de/10012622385
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Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90
Persistent link: https://www.econbiz.de/10013271960