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A directional multivariate value at risk

Torres, Raúl; Lillo, Rosa E.; Laniado, Henry - In: Insurance / Mathematics & economics 65 (2015), pp. 111-123

Persistent link: https://www.econbiz.de/10011422886

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378

Persistent link: https://www.econbiz.de/10010195917

On the factors of Bitcoin's value at risk

Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...

Persistent link: https://www.econbiz.de/10012798684

Risk aggregation and capital allocation using a new generalized Archimedean copula

Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90

Persistent link: https://www.econbiz.de/10013271960

Joint generalized quantile and conditional tail expectation regression for insurance risk analysis

Guillén, Montserrat; Bermúdez, Lluís; Pitarque, Albert - In: Insurance / Mathematics & economics 99 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012649203

Enhancing an insurer's expected value by reinsurance and external financing

Chi, Yichun; Liu, Fangda - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 466-484

Persistent link: https://www.econbiz.de/10012793937

A two-stage model for high-risk prediction in insurance ratemaking : asymptotics and inference

Hou, Yanxi - In: Insurance / Mathematics & economics 104 (2022), pp. 283-301

Persistent link: https://www.econbiz.de/10013264958

Relative bound and asymptotic comparison of expectile with respect to expected shortfall

Tadese, Mekonnen; Drapeau, Samuel - In: Insurance / Mathematics & economics 93 (2020), pp. 387-399

Persistent link: https://www.econbiz.de/10012294144

Modeling operational risk incorporating reputation risk : an integrated analysis for financial firms

Eckert, Christian; Gatzert, Nadine - In: Insurance / Mathematics & economics 72 (2017), pp. 122-137

Persistent link: https://www.econbiz.de/10011694399

Credible risk measures with applications in actuarial sciences and finance

Pitselis, Georgios - In: Insurance / Mathematics & economics 70 (2016), pp. 373-386

Persistent link: https://www.econbiz.de/10011597330