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Expected shortfall or median shortfall
Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10010508103
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On the measurement of economic tail risk
Kou, Steven; Peng, Xianhua - In: Operations research 64 (2016) 5, pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...
Persistent link: https://www.econbiz.de/10011867427
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Sensitivity measures based on scoring functions
Fissler, Tobias; Pesenti, Silvana M. - In: European journal of operational research : EJOR 307 (2023) 3, pp. 1408-1423
Persistent link: https://www.econbiz.de/10014282998
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Competitive equilibria with distortion risk measures
Boonen, Tim J. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 703-728
Persistent link: https://www.econbiz.de/10011397655
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Optimal reinsurance with premium constraint under distortion risk measures
Zheng, Yanting; Cui, Wei - In: Insurance / Mathematics & economics 59 (2014), pp. 109-120
Persistent link: https://www.econbiz.de/10010469167
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Distortion risk measures, ambiguity aversion and optimal effort
Robert, Christian Yann; Therond, Pierre-E. - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 277-302
Persistent link: https://www.econbiz.de/10010393955
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Portfolio risk analysis of excess of loss reinsurance
Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110
Persistent link: https://www.econbiz.de/10013271962
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Systemic risk : conditional distortion risk measures
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
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Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10012878185