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Aggregation of dependent risks in mixtures of exponential distributions and extensions
Sarabia Alzaga, José Maria; Gómez-Déniz, Emilio; … - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 1079-1107
Persistent link: https://www.econbiz.de/10011999867
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Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: The journal of operational risk 13 (2018) 2, pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
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Endogenizing model risk to quantile estimates
Alexander, Carol; Sarabia Alzaga, José Maria - 2010
Persistent link: https://www.econbiz.de/10009375863
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Simple risk measure calculations for sums of positive random variables
Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 273-280
Persistent link: https://www.econbiz.de/10009785394
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Analytical expressions of risk quantities for composite models
Sarabia Alzaga, José Maria; Calderín-Ojeda, Enrique - In: The journal of risk model validation 12 (2018) 3, pp. 75-101
Persistent link: https://www.econbiz.de/10011991971
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Risk aggregation in multivariate dependent Pareto distributions
Sarabia Alzaga, José Maria; Gómez-Déniz, Emilio; … - In: Insurance / Mathematics & economics 71 (2016), pp. 154-163
Persistent link: https://www.econbiz.de/10011630633
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149