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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

Beyond the sample : extreme quantile and probability estimation

Daníelsson, Jón; Vries, Casper G. de - 1997

Economic problems such as large claims analysis in insurance and value-at-risk in finance, requireassessment of the probability P of extreme realizations Q. This paper provided a semi-parametricmethod for estimation of extreme (P, Q) combinations for data with heavy tails. We solve the...

Persistent link: https://www.econbiz.de/10010533207

High-order moments and extreme value approach for value-at-risk

Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434

Persistent link: https://www.econbiz.de/10011300450

On distributional robust probability functions and their computations

Wong, Man Hong; Zhang, Shuzhong - In: European journal of operational research : EJOR 233 (2014) 1, pp. 23-33

Persistent link: https://www.econbiz.de/10010224942

Second-order tail asymptotics of deflated risks

Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 56 (2014), pp. 88-101

Persistent link: https://www.econbiz.de/10010385024

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

The statistical feature analysis and simulation study of supply chain based on fixed spread risk probability

Wen, Lei; Guo, Mingfang; Shi, Yachao - In: International journal of economics, finance and … 1 (2013) 6, pp. 318-322

Persistent link: https://www.econbiz.de/10010341527

Insights to systematic risk and diversification across a joint probability distribution

Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150

Persistent link: https://www.econbiz.de/10011457218

Nonparametric tail risk, stock returns and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016

Persistent link: https://www.econbiz.de/10011458735

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

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