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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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A view inside corporate risk management
Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026
Persistent link: https://www.econbiz.de/10012125860
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How should the cost of joint risk capital be allocated for performance measurement?
Homburg, Carsten; Scherpereel, Peter - In: European journal of operational research : EJOR 187 (2008) 1, pp. 208-227
Persistent link: https://www.econbiz.de/10003769183
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Risk management strategies via minimax portfolio optimization
Polak, George G.; Rogers, David F.; Sweeney, Dennis J. - In: European journal of operational research : EJOR 207 (2010) 1, pp. 409-419
Persistent link: https://www.econbiz.de/10003997271
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Dependence structure of risk factors and diversification effects
Chen Zhou - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 531-540
Persistent link: https://www.econbiz.de/10003981149
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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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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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Optimal reinsurance and investment problem for an insurer with counterparty risk
Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance / Mathematics & economics 61 (2015), pp. 242-254
Persistent link: https://www.econbiz.de/10010515877