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Solvency II, or how to sweep the downside risk under the carpet

Weber, Stefan - In: Insurance / Mathematics & economics 82 (2018), pp. 191-200

Persistent link: https://www.econbiz.de/10011929871

Weber, Stefan; Anderson, W.; Hamm, A.-M.; Knispel, Thomas; … - In: Mathematics and financial economics 7 (2013) 1, pp. 69-91

Persistent link: https://www.econbiz.de/10009708950

Black-Scholes, marktkonsistente Bewertung und Risikomaße

Knispel, Thomas; Stahl, Gerhard; Weber, Stefan - In: Die Folgen der Finanzkrise für Regulierung und …, (pp. 15-60). 2012

Persistent link: https://www.econbiz.de/10009514989

Alternativen zu Value at Risk

Weber, Stefan; Schmidt, Thorsten - In: Zeitschrift für die gesamte Versicherungswissenschaft … 94 (2005) 4, pp. 669-689

Persistent link: https://www.econbiz.de/10003223825

Simulation methods for robust risk assessment and the distorted mix approach

Kim, Sojung; Weber, Stefan - In: European journal of operational research : EJOR 298 (2022) 1, pp. 380-398

Persistent link: https://www.econbiz.de/10013206852

Multinomial Backtesting of Distortion Risk Measures

Weber, Stefan; Kim, Sojung; Bettels, Sören - 2022

We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical...

Persistent link: https://www.econbiz.de/10013300748

Multinomial backtesting of distortion risk measures

Bettels, Sören; Kim, Sojung; Weber, Stefan - In: Insurance : mathematics and economics 119 (2024), pp. 130-145

Persistent link: https://www.econbiz.de/10015067217