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Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
Chen, Chang-Chih; Chang, Chia-Chien; Sun, Edward W.; … - In: European journal of operational research : EJOR 300 (2022) 2, pp. 727-742
Persistent link: https://www.econbiz.de/10013207301
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Optimising the impact of COVID-19 vaccination on mortality and hospitalisations using an individual additive risk measuring approach based on a risk adjustment scheme
Wende, Danny; Hertle, Dagmar; Schulte, Claudia; … - In: The European journal of health economics 23 (2022) 6, pp. 969-978
Persistent link: https://www.econbiz.de/10013406919
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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market
Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27
Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …
Persistent link: https://www.econbiz.de/10011901688
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868
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New risk management practices
Morales-Arias, Leonardo - In: The crisis and beyond, (pp. 93-107). 2009
Persistent link: https://www.econbiz.de/10003941516
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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
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Price index modeling and risk prediction of sharia stocks in Indonesia
Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13
loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …
Persistent link: https://www.econbiz.de/10012800645
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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273