Narrow search
Showing 1 - 10 of 247
Cover Image
An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
Cover Image
Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
Cover Image
Assessing financial model risk
Barrieu, Pauline; Scandolo, Giacomo - In: European journal of operational research : EJOR 242 (2015) 2, pp. 546-556
Persistent link: https://www.econbiz.de/10010491649
Cover Image
An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
Cover Image
Reverse sensitivity testing : what does it take to break the model?
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas - In: European journal of operational research : EJOR 274 (2019) 2, pp. 654-670
Persistent link: https://www.econbiz.de/10011990176
Cover Image
A theory of multivariate stress testing
Millossovich, Pietro; Tsanakas, Andreas; Wang, Ruodu - In: European journal of operational research : EJOR 318 (2024) 3, pp. 851-866
Persistent link: https://www.econbiz.de/10015048176
Cover Image
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
Cover Image
Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
Cover Image
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
He, Zhijian - In: European journal of operational research : EJOR 298 (2022) 1, pp. 229-242
Persistent link: https://www.econbiz.de/10013206837
Cover Image
Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu; Yan, Xing; Zhang, Kun - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483