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Insurance sector risk
Slijkerman, Jan Frederik - 2006
We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...
Persistent link: https://www.econbiz.de/10011349192
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Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis
Straetmans, Stefan; Chaudhry, Sajid M. - In: Journal of international money and finance 58 (2015), pp. 191-223
Persistent link: https://www.econbiz.de/10011478260
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Tail risk and systemic risk of finance and technology (FinTech) firms
Chaudhry, Sajid M.; Ahmed, Rizwan; Toan Luu Duc Huynh; … - In: Technological forecasting & social change : an … 174 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013209636
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Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
Li, Jinzhu - In: Insurance / Mathematics & economics 107 (2022), pp. 38-56
Persistent link: https://www.econbiz.de/10013471098
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Asymptotic finite-time ruin probability for bidimensional renewal risk model with constant interest force and dependent subexponential claims
Yang, Haizhong; Li, Jinzhu - In: Insurance / Mathematics & economics 58 (2014), pp. 185-192
Persistent link: https://www.econbiz.de/10010437565
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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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Satisficing credibility for heterogeneous risks
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying - In: European journal of operational research : EJOR 298 (2022) 2, pp. 752-768
Persistent link: https://www.econbiz.de/10013206896
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Extremes for coherent risk measures
Asimit, Alexandru; Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 332-341
Persistent link: https://www.econbiz.de/10011630863
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On additivity of tail comonotonic risks
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866
Persistent link: https://www.econbiz.de/10012195005
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Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10014490082