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Extreme M-quantiles as risk measures : from L1 to Lp optimization

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017

Persistent link: https://www.econbiz.de/10012266461

Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure

Ahn, Jae Youn; Shyamalkumar, Nariankadu D. - In: Insurance / Mathematics & economics 55 (2014), pp. 78-90

Persistent link: https://www.econbiz.de/10010366204

Estimation of Tail-Related Value at Risk Measures : Range-Based Extreme Value Approach

Chou, Heng-Chih - 2016

This study proposes a new approach for estimating value at risk (VaR). This approach combines quasi … value theory (EVT) to estimate the tail of the innovation distribution of the ACARR model. The proposed approach reflects …

Persistent link: https://www.econbiz.de/10013007458

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Estimating and backtesting risk under heavy tails

Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013264930

Making Cornish-Fisher fit for risk measurement

Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81

Persistent link: https://www.econbiz.de/10012059934

Tail mean-variance portfolio selection with estimation risk

Huang, Zhenzhen; Wei, Pengyu; Weng, Chengguo - In: Insurance : mathematics and economics 116 (2024), pp. 218-234

Persistent link: https://www.econbiz.de/10015066806

Uncertain risk parity

Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10012805357

Value-at-Risk-Schätzung mit Gauß'schen Mischverteilungen und künstlichen neuronalen Netzen

Prinzler, Ralf - 2001

Persistent link: https://www.econbiz.de/10001583953

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192

Persistent link: https://www.econbiz.de/10014317144

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