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Large deviations for risk measures in finite mixture models
Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92
Persistent link: https://www.econbiz.de/10011872915
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Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong - In: Insurance / Mathematics & economics 108 (2023), pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
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How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? : a practical assessment
Idier, Julien; Lamé, Gildas; Mésonnier, Jean-Stéphane - In: Journal of banking & finance 47 (2014), pp. 134-146
Persistent link: https://www.econbiz.de/10010506498
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Generalized moment-independent importance measures based on Minkowski distance
Zhai, Qingqing; Yang, Jun; Xie, Min; Zhao, Yu - In: European journal of operational research : EJOR 239 (2014) 2, pp. 449-455
Persistent link: https://www.econbiz.de/10010407842
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Measuring firm performance using nonparametric quantile-type distances
Daouia, Abdelaati; Simar, Léopold; Wilson, Paul W. - In: Econometric reviews 36 (2017) 1/3, pp. 156-181
Persistent link: https://www.econbiz.de/10011795039
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Vulnerability in a stochastic dynamic model
Elbers, Chris; Gunning, Jan Willem - 2003 - Rev.
Most measures of vulnerability are a-theoretic and essentially static. In this paper we use a stochastic Ramsey model to find a household's optimal welfare and we measure vulnerability as the shortfall from the welfare attained if the household consumed permanently at the poverty line. The...
Persistent link: https://www.econbiz.de/10011334363
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Approving the ISDWIR method of risk measurement in making risk management decision
Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59
This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …
Persistent link: https://www.econbiz.de/10010385650
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
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On measuring uncertainty : snakes and ladders
Junankar, Pramod N. - 2016
although risk can be measured, uncertainty cannot be measured. Even though risk can be measured, a simple symmetric measure … attempt at "measuring" risk or (fundamental) uncertainty is flawed. …
Persistent link: https://www.econbiz.de/10011543578
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An industry ontology for risk data aggregation reporting
Bennett, Mike - In: Journal of securities operations & custody 8 (2015/2016) 2, pp. 132-145
Persistent link: https://www.econbiz.de/10011486224