Purpose – This paper aims to investigate how effectively the value at risk (VaR) estimated using the student-t distribution captures the market risk. Design/methodology/approach – Two alternative VaR models, VaR-t and VaR-x models, are presented and compared with the benchmark model (VaR-n...

Purpose – This editorial, the second of a two-part series, proposes a new measure of risk for analyzing highly non-normal (i.e. asymmetric and long-tailed) random variables in the context of both investment and insurance portfolios. The proposed measure replaces the p-norm-based definition of...

Purpose – The purpose of this paper (the first of two) is to consider measures of risk commonly used in the analysis of both investment and insurance portfolios, and argue that there is a need for more appropriate measures to capture the uncertainty inherent in non-normal (i.e. asymmetric...