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Risk in large claims insurance market with bipartite graph structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176

Persistent link: https://www.econbiz.de/10011594678

Does the tail risk index matter in forecasting downside risk?

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466

Persistent link: https://www.econbiz.de/10014327761

Optimal reinsurance with premium constraint under distortion risk measures

Zheng, Yanting; Cui, Wei - In: Insurance / Mathematics & economics 59 (2014), pp. 109-120

Persistent link: https://www.econbiz.de/10010469167

A multivariate CVaR risk measure from the perspective of portfolio risk management

Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215

Persistent link: https://www.econbiz.de/10013370495

Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

Nakajima, Tadahiro; Hamori, Shigeyuki - 2022

Introduction -- Arbitrage Trading in Energy Market and Risk Measurement -- Fuel Markets Connectedness and Fuel … hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA …

Persistent link: https://www.econbiz.de/10013431279

Equivalent risk indicators : VaR, TCE, and beyond

Faroni, Silvia; Le Courtois, Olivier; Ostaszewski, … - In: Risks : open access journal 10 (2022) 8, pp. 1-19

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk … quantiles of this indicator to the quantiles of VaR in a simple Pareto framework, and then in a generalized Pareto framework. We …

Persistent link: https://www.econbiz.de/10013368509