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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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Risk tomography
Prékopa, András; Lee, Jinwook - In: European journal of operational research : EJOR 265 (2018) 1, pp. 149-168
Persistent link: https://www.econbiz.de/10011805383
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Robust insurance design with distortion risk measures
Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 316 (2024) 2, pp. 694-706
Persistent link: https://www.econbiz.de/10014575576
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A marginal indemnity function approach to optimal reinsurance under the Vajda condition
Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 303 (2022) 2, pp. 928-944
Persistent link: https://www.econbiz.de/10013364047
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Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Guan, Guohui; Liang, Zongxia; Xia, Yi - In: European journal of operational research : EJOR 305 (2023) 2, pp. 868-886
Persistent link: https://www.econbiz.de/10013479338
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Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: European journal of operational research : EJOR 306 (2023) 1, pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
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Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
Dacorogna, Michel M.; Debbabi, Nehla; Kratz, Marie - In: European journal of operational research : EJOR 311 (2023) 2, pp. 708-729
Persistent link: https://www.econbiz.de/10014336745
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Loss function-based change point detection in risk measures
Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
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A simulation-based method for estimating systemic risk measures
Ye, Wuyi; Zhou, Yi; Chen, Pengzhan; Wu, Bin - In: European journal of operational research : EJOR 313 (2024) 1, pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
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Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198