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Ranking the extreme claim amounts in dependent individual risk models

Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247

Persistent link: https://www.econbiz.de/10012500261

Risk management with Tail Quasi-Linear Means

Bäuerle, Nicole; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 170-187

Persistent link: https://www.econbiz.de/10012194089

Asymptotics of multivariate conditional risk measures for Gaussian risks

Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215

Persistent link: https://www.econbiz.de/10012058863

Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice

Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39

Persistent link: https://www.econbiz.de/10011992015

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063

Measuring risk when expected losses are unbounded

Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

Persistent link: https://www.econbiz.de/10010489103

Tail risk in pension funds : an analysis using ARCH models and bilinear processes

Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331

Persistent link: https://www.econbiz.de/10010490407

Insights to systematic risk and diversification across a joint probability distribution

Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150

Persistent link: https://www.econbiz.de/10011457218

Forecasting extreme financial risk : a score-driven approach

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735

Persistent link: https://www.econbiz.de/10014465107

Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014469910