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Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143
Persistent link: https://www.econbiz.de/10011597203
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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
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Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi; Tong, Bin - In: Applied economics letters 22 (2015) 16/18, pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
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Second-order tail asymptotics of deflated risks
Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 56 (2014), pp. 88-101
Persistent link: https://www.econbiz.de/10010385024
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Worldwide equity risk prediction
Ardia, David; Hoogerheide, Lennart F. - In: Applied economics letters 20 (2013) 13/15, pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
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Insights to systematic risk and diversification across a joint probability distribution
Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150
Persistent link: https://www.econbiz.de/10011457218
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Second order risk aggregation with the Bernstein copula
Coqueret, Guillaume - In: Insurance / Mathematics & economics 58 (2014), pp. 150-158
Persistent link: https://www.econbiz.de/10010437578
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Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
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Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert; Stoev, Stilian; Cooley, Daniel - In: Insurance / Mathematics & economics 92 (2020), pp. 70-89
Persistent link: https://www.econbiz.de/10012242040
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Extreme quantile estimation for β-mixing time series and applications
Chavez-Demoulin, Valérie; Guillou, Armelle - In: Insurance / Mathematics & economics 83 (2018), pp. 59-74
Persistent link: https://www.econbiz.de/10011944097