In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a … corresponding set of axioms which are well suited to analyze the risk due to events having a spatial extent, precisely such as …

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

rejected, since a subadditive risk measure, by definition, cannot account for such increased risks. …This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk … measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger …

on various methods of the optimal tail selection in risk measurement. The results indicate which method may be useful in … objective is to compare the methods and to identify those which can be recognized as useful in risk measurement. The results …

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …