The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated … (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears …

order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in different locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors …

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields … insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we … here extend it by incorporating the idea of expectiles, thus indicating not only the tail probability but rather the actual …

order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …