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Using weighted distributions to model operational risk
Afonso, Lourdes B.; Real, Pedro Corte - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 469-485
Persistent link: https://www.econbiz.de/10011576788
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Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Rassoul, Abdelaziz - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 698-703
Persistent link: https://www.econbiz.de/10010227902
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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
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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19
derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …
Persistent link: https://www.econbiz.de/10012484861
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Subjectivity in conventional tail measures : an exploratory model with "risks & biases"
Majumder, Debasish - In: Finance research letters 55 (2023) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10014473436
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Improved estimation of poisson rate distributions through a multi-mode survey design
Hitczenko, Marcin - 2021
less data. The choice of survey mode, therefore, involves a potential tradeoff between bias and variance of estimators. I …
Persistent link: https://www.econbiz.de/10012425355
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Ordering and inequalities for mixtures on risk aggregation
Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 421-451
Persistent link: https://www.econbiz.de/10012815980
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Testing distributional inequalities and asymptotic bias
Song, Kyungchul (contributor) - 2008
Persistent link: https://www.econbiz.de/10003716905
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim (contributor); Dijk, Dick van (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003754160