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Large deviations for risk measures in finite mixture models

Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92

Persistent link: https://www.econbiz.de/10011872915

Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement

González Sánchez, Mariano; Nave Pineda, Juan M. - In: International review of financial analysis 86 (2023), pp. 1-12

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Robust simulation with likelihood-ratio constrained input uncertainty

Hu, Zhaolin; Hong, L. Jeff - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2350-2367

Persistent link: https://www.econbiz.de/10013362754

Evaluating the tail risk of multivariate aggregate losses

Jiang, Wenjun; Ren, Jiandong - In: ASTIN bulletin : the journal of the International … 52 (2022) 3, pp. 921-952

Persistent link: https://www.econbiz.de/10013426668

On the time and aggregate claim amount until the surplus dropsbelow zero or reaches a safety level in a jump diffusion risk model

Boutsikasa, M. V.; Economidesa, D.-J.; Vaggelatou, E. - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 64-88

Persistent link: https://www.econbiz.de/10014519936

A stochastic model of group wealth responses to insurancemechanisms in low-income communities

Henshaw, Kira; Mandjes, Michel; Constantinescu, Corina - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 301-328

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Cyber risk modeling : a discrete multivariate count process approach

Lu, Yang; Zhang, Jinggong; Zhu, Wenjun - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 625-655

Persistent link: https://www.econbiz.de/10015052473

Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

Cai, Jun; Liu, Fangda - 2023

modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …

Persistent link: https://www.econbiz.de/10014355245

Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488

Persistent link: https://www.econbiz.de/10011308984

A semantic study of the first-order predicate logic with uncertainty involved

Zhang, Xingfang; Li, Xiang - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 357-367

Persistent link: https://www.econbiz.de/10010439019