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Discrete time ruin probability with Parisian delay
Czarna, Irmina; Palmowski, Zbigniew; Świa̧tek, Przemysław - In: Scandinavian actuarial journal (2017) 10, pp. 854-869
Persistent link: https://www.econbiz.de/10011848700
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Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
Bai, Long - In: Scandinavian actuarial journal (2018) 6, pp. 514-528
Persistent link: https://www.econbiz.de/10011939705
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Portfolio rankings with skewness and kurtosis
Di Pierro, Massimo; Mosevich, J. - In: Computational finance and its applications III : …, (pp. 109-117). 2008
Persistent link: https://www.econbiz.de/10003713279
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Financial decision-making under distribution uncertainty
Kacperczyk, Marcin - 2004
Persistent link: https://www.econbiz.de/10003386915
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Comparison of conditional distributions in portfolios of dependent risks
Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69
Persistent link: https://www.econbiz.de/10010515927
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
Raducan, Anisoara Maria; Vernic, Raluca; Zbaganu, Gheorghita - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 421-443
Persistent link: https://www.econbiz.de/10011312279
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001
Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...
Persistent link: https://www.econbiz.de/10011316891
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Different probability distributions for portfolio selection in the chance constrained compromise programming model
Boswarva, Ian; Aouni, Belaïd - In: INFOR : information systems and operational research 50 (2012) 3, pp. 140-146
Persistent link: https://www.econbiz.de/10009748814
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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378
Persistent link: https://www.econbiz.de/10010195917