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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

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

Bayesian Value-at-Risk backtesting : the case of annuity pricing

Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801

Persistent link: https://www.econbiz.de/10012513273

Risk aggregation under dependence uncertainty and an order constraint

Chen, Yuyu; Lin, Liyuan; Wang, Ruodu - In: Insurance / Mathematics & economics 102 (2022), pp. 169-187

Persistent link: https://www.econbiz.de/10013271969

Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

Characterizing optimal allocations in quantile-based risk sharing

Wang, Ruodu; Wei, Yunran - In: Insurance / Mathematics & economics 93 (2020), pp. 288-300

Persistent link: https://www.econbiz.de/10012294136

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation …. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

Persistent link: https://www.econbiz.de/10012302139

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

Risk-adjusted Bowley reinsurance under distorted probabilities

Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying - In: Insurance / Mathematics & economics 86 (2019), pp. 64-72

Persistent link: https://www.econbiz.de/10012058684