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A new approach to measuring riskiness in the equity market : implications for the risk premium

Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117

Persistent link: https://www.econbiz.de/10011543805

Systemic risk : conditional distortion risk measures

Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145

Persistent link: https://www.econbiz.de/10013271967

Hybrid tail risk and expected stock returns : when does the tail wag the dog?

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2013

Persistent link: https://www.econbiz.de/10010191590

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417

Persistent link: https://www.econbiz.de/10011987520

An approximation method for risk aggregations and capital allocation rules based on additive risk factor models

Zhou, Ming; Dhaene, Jan; Yao, Jing - In: Insurance / Mathematics & economics 79 (2018), pp. 92-100

Persistent link: https://www.econbiz.de/10011825398

Tail mutual exclusivity and Tail-VaR lower bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - In: Scandinavian actuarial journal (2017) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10011771971

Modern Actuarial Risk Theory

Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel - 2002 - 1st ed. 2002.

Utility theory and insurance -- The individual risk model -- Collective risk models -- Ruin theory -- Premium principles -- Bonus-malus systems -- Credibility theory -- Generalized linear models -- IBNR techniques -- Ordering of risks.

Persistent link: https://www.econbiz.de/10014021910

Value uncertainty

Bali, Turan G.; Del Viva, Luca; El Hefnawy, Menatalla; … - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4548-4563

Persistent link: https://www.econbiz.de/10015046305