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Estimating and backtesting risk under heavy tails

Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013264930

Pitera, Marcin - 2017

The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures of risk measures in terms of bias.We show that once the...

Persistent link: https://www.econbiz.de/10012966799

Long run risk sensitive portfolio with general factors

Pitera, Marcin; Stettner, Łukasz - In: Mathematical methods of operations research 83 (2016) 2, pp. 265-293

Persistent link: https://www.econbiz.de/10011673660

Discrete-time risk sensitive portfolio optimization with proportional transaction costs

Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313

Persistent link: https://www.econbiz.de/10014370659

Dynamic CDO term structure modeling

Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 53-71

Persistent link: https://www.econbiz.de/10008935703

Variable annuities in a Lévy-based hybrid model with surrender risk

Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886

Persistent link: https://www.econbiz.de/10012262632