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Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 59 (2014), pp. 311-320
Persistent link: https://www.econbiz.de/10010469980
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Model risk in portfolio optimization
Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 3, pp. 315-348
measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we … sample covariance matrix in order to reduce model risk. …
Persistent link: https://www.econbiz.de/10010400258
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Second order risk aggregation with the Bernstein copula
Coqueret, Guillaume - In: Insurance / Mathematics & economics 58 (2014), pp. 150-158
Persistent link: https://www.econbiz.de/10010437578
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Estimating value at risk of portfolio by conditional copula-GARCH method
Huang, Jen-jsung; Lee, Kuo-jung; Liang, Hueimei; Lin, Wei-fu - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 315-324
Persistent link: https://www.econbiz.de/10009517562
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Inference for intermediate Haezendonck-Goovaerts risk measure
Wang, Xing; Peng, Liang - In: Insurance / Mathematics & economics 68 (2016), pp. 231-240
Persistent link: https://www.econbiz.de/10011493849
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Schätzrisiken in der Portfoliotheorie : Auswirkungen und Möglichkeiten der Reduktion
Memmel, Christoph - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002477202
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Portfolio analysis based on the shortfall concept
Matthes, Rainer - In: Risk measurement, econometrics and neural networks : …, (pp. 147-160). 1998
Persistent link: https://www.econbiz.de/10001305356
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A parametric model to estimate risk in a fixed income portfolio
Abad, Pilar (contributor); Benito, Sonia (contributor) - 2006
Persistent link: https://www.econbiz.de/10003398615
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Incorporating event risk into Value-at-Risk
Gibson, Michael S. - 2001
Persistent link: https://www.econbiz.de/10001573187
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A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001441592