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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu; Wei, Yunran - In: Insurance / Mathematics & economics 93 (2020), pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
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The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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Combining multi-asset and intrinsic risk measures
Laudagé, Christian; Sass, Jörn; Wenzel, Jörg - In: Insurance / Mathematics & economics 106 (2022), pp. 254-269
Persistent link: https://www.econbiz.de/10013380532
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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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On the effectiveness of natural hedging for insurance companies and pension plans
Li, Jackie; Haberman, Steven - In: Insurance / Mathematics & economics 61 (2015), pp. 286-297
Persistent link: https://www.econbiz.de/10010515868
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Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria; Puccetti, Giovanni; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 61 (2015), pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16
Persistent link: https://www.econbiz.de/10010515946