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The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization

Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303

Persistent link: https://www.econbiz.de/10014301231

Nonparametric inference for distortion risk measures on tail regions

Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110

Persistent link: https://www.econbiz.de/10012133516

Stressed portfolio optimization with semiparametric method

Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

Persistent link: https://www.econbiz.de/10013170237

Nonparametric density estimation and risk quantification from tabulated sample moments

Lambert, Philippe - In: Insurance / Mathematics & economics 108 (2023), pp. 177-189

Persistent link: https://www.econbiz.de/10013534519

Nonparametric estimation of systemic risk via conditional value-at-risk

Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10013549675

Kernel type estimator of the reinsurance premium for heavy-tailed loss distributions

Benkhelifa, Lazhar - In: Insurance / Mathematics & economics 59 (2014), pp. 65-70

Persistent link: https://www.econbiz.de/10010469183

Tail negative dependence and its applications for aggregate loss modeling

Hua, Lei - In: Insurance / Mathematics & economics 61 (2015), pp. 135-145

Persistent link: https://www.econbiz.de/10010515904

Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model

Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381

Persistent link: https://www.econbiz.de/10010495168

High-order conditional quantile estimation based on nonparametric models of regression

Martins-Filho, Carlos; Yao, Feng; Torero, Máximo - In: Econometric reviews 34 (2015) 6/10, pp. 907-958

Persistent link: https://www.econbiz.de/10011483401

Efficient density estimation and value at risk using Fejér-type kernel functions

Kosta, Olga; Stepanova, Natalia - In: Journal of mathematical finance 5 (2015) 5, pp. 480-504

Persistent link: https://www.econbiz.de/10011440699