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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
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CreditRisk+ model with dependent risk factors
Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40
Persistent link: https://www.econbiz.de/10011420714
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Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10009730805
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Inference for intermediate Haezendonck-Goovaerts risk measure
Wang, Xing; Peng, Liang - In: Insurance / Mathematics & economics 68 (2016), pp. 231-240
Persistent link: https://www.econbiz.de/10011493849
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Two-step risk analysis in insurance ratemaking
Kang, Seul Ki; Peng, Liang; Golub, Andrew - In: Scandinavian actuarial journal 2021 (2021) 6, pp. 532-542
Persistent link: https://www.econbiz.de/10012588357
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Risk analysis with categorical explanatory variables
Kang, Seul Ki; Peng, Liang; Xiao, Hongmin - In: Insurance / Mathematics & economics 91 (2020), pp. 238-243
Persistent link: https://www.econbiz.de/10012242018
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Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang - In: Scandinavian actuarial journal (2018) 8, pp. 661-680
Persistent link: https://www.econbiz.de/10011939722
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Statistical inference for a relative risk measure
He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311
Persistent link: https://www.econbiz.de/10012177340
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Haezendonck-Goovaerts risk measure with a heavy tailed loss
Liu, Qing; Peng, Liang; Wang, Xing - In: Insurance / Mathematics & economics 76 (2017), pp. 28-47
Persistent link: https://www.econbiz.de/10011774767
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Risk analysis via generalized pareto distributions
He, Yi; Peng, Liang; Zhang, Dabao; Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 852-867
Persistent link: https://www.econbiz.de/10013534572