Narrow search
Showing 1 - 10 of 820,268
Cover Image
Multivariate tail conditional expectation for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223
Persistent link: https://www.econbiz.de/10011597276
Cover Image
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
Cover Image
Expected shortfall and tail conditional expectation with the Pearson type IV distribution
Stavroyiannis, Stavros - In: Global business & economics review 18 (2016) 1, pp. 41-53
Persistent link: https://www.econbiz.de/10011738550
Cover Image
Conditional tail risk measures for the skewed generalised hyperbolic family
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 86 (2019), pp. 98-114
Persistent link: https://www.econbiz.de/10012058838
Cover Image
Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
Cover Image
Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
Cover Image
A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics
Hendriks, Harrie; Landsman, Zinoviy - In: Scandinavian actuarial journal (2017) 9, pp. 785-803
Persistent link: https://www.econbiz.de/10011848675
Cover Image
A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
Cover Image
Analysis and forecasting of risk in count processes
Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012522289
Cover Image
Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns
Lesniewski, Andrew - 2016
We develop explicit asymptotic expansions of the portfolio Value-at-Risk (VaR) and portfolio Expected Shortfall (ES … tail decay, the portfolio ES is strictly larger than its VaR. The amount of the risk reduction through merging …
Persistent link: https://www.econbiz.de/10012996706