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The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios
Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17
three main quantitative sources available to banks for building the loss distribution are internal loss data, external loss … in the loss distribution approach (LDA) framework through a Bayesian strategy. The integration of the different elements … second step, the initial posterior function is used as the prior distribution and the internal loss data inform the …
Persistent link: https://www.econbiz.de/10011866503
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An optimal tail selection in risk measurement
Just, Małgorzata; Echaust, Krzysztof - In: Risks : open access journal 9 (2021) 4, pp. 1-16
The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on various methods of the optimal tail selection in...
Persistent link: https://www.econbiz.de/10012508704
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Nonparametric estimation of extreme quantiles with an application to longevity risk
Bolancé, Catalina; Guillén, Montserrat - In: Risks : open access journal 9 (2021) 4, pp. 1-23
A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of...
Persistent link: https://www.econbiz.de/10012508762
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A note on upper tail behavior of Liouville copulas
Hua, Lei - In: Risks : open access journal 4 (2016) 4, pp. 1-10
The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in...
Persistent link: https://www.econbiz.de/10011556499
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Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...
Persistent link: https://www.econbiz.de/10011866456
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Analyzing the Gaver-Lewis pareto process under an extremal perspective
Ferreira, Marta; Ferreira, Helena - In: Risks : open access journal 5 (2017) 3, pp. 1-12
Pareto processes are suitable to model stationary heavy-tailed data. Here, we consider the auto-regressive Gaver–Lewis Pareto Process and address a study of the tail behavior. We characterize its local and long-range dependence. We will see that consecutive observations are asymptotically tail...
Persistent link: https://www.econbiz.de/10011687902
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The generalised pareto distribution model approach to comparing extreme risk in the exchange rate risk of BitCoin/US Dollar and South African Rand/US Dollar Returns
Ndlovu, Thabani; Chikobvu, Delson - In: Risks : open access journal 11 (2023) 6, pp. 1-16
Cryptocurrencies are said to be very risky, and so are the currencies of emerging economies, including the South African rand. The steady rise in the movement of South Africans' investments between the rand and BitCoin warrants an investigation as to which of the two currencies is riskier. In...
Persistent link: https://www.econbiz.de/10014334466
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Discovering intraday tail dependence patterns via a full-range tail dependence copula
Hua, Lei - In: Risks : open access journal 11 (2023) 11, pp. 1-17
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally thereafter. We also introduce a...
Persistent link: https://www.econbiz.de/10014436379
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Estimating quantile families of loss distributions for non-life insurance modelling via L-moments
Peters, Gareth; Chen, Wilson Ye; Gerlach, Richard H. - In: Risks : open access journal 4 (2016) 2, pp. 1-41
This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of … Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer … opportunities to produce flexible skewness and kurtosis features often required in loss modelling. In addition, these loss models …
Persistent link: https://www.econbiz.de/10011507468
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Rank-based multivariate Sarmanov for modeling dependence between loss reserves
Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37
The interdependence between multiple lines of business has an important impact on determining loss reserves and risk …, we study rank-based methods using the Sarmanov distribution to adequately estimate the loss reserves and properly capture …
Persistent link: https://www.econbiz.de/10014435614