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Ruin-based risk measures in discrete-time risk models
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; … - In: Insurance / Mathematics & economics 93 (2020), pp. 246-261
Persistent link: https://www.econbiz.de/10012294129
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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
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Dynamic risk measures for processes via backward stochastic differential equations
Ji, Ronglin; Shi, Xuejun; Wang, Shijie; Zhou, Jinming - In: Insurance / Mathematics & economics 86 (2019), pp. 43-50
Persistent link: https://www.econbiz.de/10012058682
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Risk-adjusted Bowley reinsurance under distorted probabilities
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying - In: Insurance / Mathematics & economics 86 (2019), pp. 64-72
Persistent link: https://www.econbiz.de/10012058684
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On a family of risk measures based on largest claims
Castaño-Martínez, A.; Pigueiras, G.; Sordo, M. A. - In: Insurance / Mathematics & economics 86 (2019), pp. 92-97
Persistent link: https://www.econbiz.de/10012058833
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Conditional tail risk measures for the skewed generalised hyperbolic family
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 86 (2019), pp. 98-114
Persistent link: https://www.econbiz.de/10012058838
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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
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Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215
Persistent link: https://www.econbiz.de/10012058863
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On a family of risk measures based on proportional hazards models and tail probabilities
Psarrakos, Georgios; Sordo, Miguel A. - In: Insurance / Mathematics & economics 86 (2019), pp. 232-240
Persistent link: https://www.econbiz.de/10012058865
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Tail asymptotics of generalized deflated risks with insurance applications
Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 71 (2016), pp. 220-231
Persistent link: https://www.econbiz.de/10011630653