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Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Insurance / Mathematics & economics 108 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
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A note on additive risk measures in rank-dependent utility
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 187-189
Persistent link: https://www.econbiz.de/10008654259
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Optimality of general reinsurance contracts under CTE risk measure
Ken Seng Tan; Weng, Chengguo; Zhang, Yi - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009242047
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On the Haezendonck-Goovaerts risk measure for extreme risks
Tang, Qihe; Fan, Yang - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 217-227
Persistent link: https://www.econbiz.de/10009501684
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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
Landsman, Zinoviy; Makov, Udi - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 94-98
Persistent link: https://www.econbiz.de/10009501696
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Worst case risk measurement : back to the future?
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 380-392
Persistent link: https://www.econbiz.de/10009404700
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Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker; Zähle, Henryk - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 335-344
Persistent link: https://www.econbiz.de/10009404714
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Risk aggregation with dependence uncertainty
Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108
Persistent link: https://www.econbiz.de/10010259666
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Generalized quantiles as risk measures
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
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Extensions of the notion of overall comonotonicity to partial comonotonicity
Lianzeng, Zhang; Duan, Baige - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 457-464
Persistent link: https://www.econbiz.de/10009763626