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Financial decision-making under distribution uncertainty
Kacperczyk, Marcin - 2004
Persistent link: https://www.econbiz.de/10003386915
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Ruin with insurance and financial risks following the least risky FGM dependence structure
Chen, Yiqing; Liu, Jiajun; Liu, Fei - In: Insurance / Mathematics & economics 62 (2015), pp. 98-106
Persistent link: https://www.econbiz.de/10011312084
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Choosing a random distribution with prescribed risks
Cascos, Ignacio; Molčanov, Il'ja S. - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 599-605
Persistent link: https://www.econbiz.de/10009763578
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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378
Persistent link: https://www.econbiz.de/10010195917
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The statistical feature analysis and simulation study of supply chain based on fixed spread risk probability
Wen, Lei; Guo, Mingfang; Shi, Yachao - In: International journal of economics, finance and … 1 (2013) 6, pp. 318-322
Persistent link: https://www.econbiz.de/10010341527
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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
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Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
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Ruin probabilities with dependence on the number of claims within a fixed time window
Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims …
Persistent link: https://www.econbiz.de/10011507555
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
Sun, Ying; Wei, Li - In: Insurance / Mathematics & economics 59 (2014), pp. 178-183
Persistent link: https://www.econbiz.de/10010469138