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Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk

Liu, Haiyan; Mao, Tiantian - 2021

A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by...

Persistent link: https://www.econbiz.de/10013226881

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Shortfall deviation risk : an alternative for risk measurement

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116

Persistent link: https://www.econbiz.de/10013177086

Risk concentration based on Expectiles for extreme risks under FGM copula

Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439

Persistent link: https://www.econbiz.de/10011398136

A comparison of expected shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47

Persistent link: https://www.econbiz.de/10011317189

Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks

Mao, Tiantian; Hu, Taizhong - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 333-343

Persistent link: https://www.econbiz.de/10009669603

Deviation-based model risk measures

Berkhouch, Mohammed; Müller, Fernanda Maria; Lakhnati, … - In: Computational economics 59 (2022) 2, pp. 527-547

Persistent link: https://www.econbiz.de/10013169017

Estimation of the Haezendonck-Goovaerts risk measure for extreme risks

Zhao, Yanchun; Mao, Tiantian; Yang, Fan - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 599-622

Persistent link: https://www.econbiz.de/10012624637

A composition between risk and deviation measures

Righi, Marcelo Brutti - In: Application of operations research to financial markets, (pp. 299-313). 2019

Persistent link: https://www.econbiz.de/10012159991

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116

Persistent link: https://www.econbiz.de/10011740761