Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered … models in order to predict the probability of tail events and the Value-at-Risk and the Expected Shortfall risk measures for …

In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims … probabilities. In addition, we extend the risk model by considering an external Markovian environment in which the claims …

and hence faces both insurance and financial risks. Over a time horizon of one year, the insurance risk is quantified as a … nonnegative random variable X equal to the aggregate amount of claims, and the financial risk as a d-dimensional random vector Y …

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is … deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on … development for the dual risk models to minimize the ruin probability of the underlying company. We will also study the …

admit explicit quantile specifications which make them directly relevant for quantile based risk measure calculations. We …

estimation of expected values. We show that this form of machine learning fails when rewards (returns) are affected by tail risk …