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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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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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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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Nonparametric density estimation and risk quantification from tabulated sample moments
Lambert, Philippe - In: Insurance / Mathematics & economics 108 (2023), pp. 177-189
Persistent link: https://www.econbiz.de/10013534519
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Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan; Mao, Tiantian - In: Insurance / Mathematics & economics 107 (2022), pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
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Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Wei, Yunran; Zitikis, Ric̆ardas - In: Insurance / Mathematics & economics 111 (2023), pp. 163-172
Persistent link: https://www.econbiz.de/10014317143