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Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint

Staino, Alessandro; Russo, Emilio; Costabile, Massimo; … - In: Computational management science 20 (2023) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10014228472

A bivariate lattice model to compute risk measures in life insurance policies

Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139

Persistent link: https://www.econbiz.de/10012486033

Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

Persistent link: https://www.econbiz.de/10012132469

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

Persistent link: https://www.econbiz.de/10010510949

Value at risk and expected shortfall improved calculation based on the power transformation method

Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 67-81

Persistent link: https://www.econbiz.de/10011311416

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - 2013

Persistent link: https://www.econbiz.de/10010440889

Multilevel and tail risk management

Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 5, pp. 839-874

Persistent link: https://www.econbiz.de/10013460029

Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of Conditional Auto-Regressive Logit (CARL) models to...

Persistent link: https://www.econbiz.de/10012203657

Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance

Costabile, Massimo; Viviano, Fabio - In: Risks 8 (2020) 2, pp. 1-13

In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments...

Persistent link: https://www.econbiz.de/10013200582

Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance

Costabile, Massimo; Viviano, Fabio - In: Risks : open access journal 8 (2020) 2/48, pp. 1-13

Persistent link: https://www.econbiz.de/10012292830