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Backtesting General Spectral Risk Measures with Application to Expected Shortfall

Costanzino, Nick - 2015

In this note, we present a simple, practical and easily implementable coverage test to backtest any spectral risk measure. Our test gives a single decision at a specified confidence level and is perfectly consistent with the binomial test for VaR. Particular attention is given to the special...

Persistent link: https://www.econbiz.de/10013032087

On the power of indicators : how the choice of fuel poverty indicator affects the identification of the target population

Fizaine, Florian; Kahouli, Sondès - In: Applied economics 51 (2019) 11, pp. 1081-1110

Persistent link: https://www.econbiz.de/10012196512

Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure

Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang - In: Scandinavian actuarial journal (2018) 8, pp. 661-680

Persistent link: https://www.econbiz.de/10011939722

An extended LBWA framework in picture fuzzy environment using actual score measures application in social enterprise systems

Biswas, Sanjib; Majumder, Shuvendu; Pamucar, Dragan; … - In: International journal of enterprise information systems … 17 (2021) 4, pp. 37-68

Persistent link: https://www.econbiz.de/10012663777

Computing sensitivities for distortion risk measures

Glynn, Peter W.; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: INFORMS journal on computing : JOC 33 (2021) 4, pp. 1520-1532

Persistent link: https://www.econbiz.de/10012796944

Investigating the transport flexibility measures for freight transportation : a fuzzy best-worst method approach

Shardeo, Vipulesh; Patil, Anchal; Dwivedi, Ashish; … - In: International journal of logistics systems and … 43 (2022) 2, pp. 268-295

Persistent link: https://www.econbiz.de/10013454162

Emotions in tourism : theoretical designs, measurements, analytics, and interpretations

Hosany, Sameer; Martin, Drew; Woodside, Arch G. - In: Journal of travel research : a quarterly publication of … 60 (2021) 7, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012625535

Monte-Carlo Simulation und Due Diligence: Ein methodischer Ansatz zur computergestützten Aggregierung von Wahrscheinlichkeitsverteilungen aus Expertenbefragungen

Klein, Martin - 2010

The combination of experts' probability distributions involved in a due diligence is valuable for encapsulating the accumulated information for decision makers and providing the current state of expert opinion regarding important uncertainties. Therefore, this paper shows how to create and...

Persistent link: https://www.econbiz.de/10010300365

Monte-Carlo Simulation und Due Diligence: Ein methodischer Ansatz zur computergestützten Aggregierung von Wahrscheinlichkeitsverteilungen aus Expertenbefragungen

Klein, Martin - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010

Persistent link: https://www.econbiz.de/10008498425

Investment Decisions and Sensitivity Analysis : NPV-Consistency of Rates of Return

Marchioni, Andrea - 2018

Investment decisions may be evaluated via several different metrics/criteria, which are functions of a vector of value drivers. The economic significance and the reliability of a metric depend on its compatibility with the Net Present Value (NPV). Traditionally, a metric is said to be...

Persistent link: https://www.econbiz.de/10012931080