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subject:"Basler Akkord"
subject:"Bankenaufsicht"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Statistical distribution"
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Basler Akkord
Bankenaufsicht
Statistical distribution
Risk management
217
Risikomanagement
216
Theorie
156
Theory
156
Risiko
116
Risk
116
Portfolio selection
98
Portfolio-Management
98
Risk measure
94
Risikomaß
93
Risikomodell
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Measurement
47
Messung
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Statistische Verteilung
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Reinsurance
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Stochastischer Prozess
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Hedging
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Multivariate Verteilung
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Multivariate distribution
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Probability theory
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Versicherung
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Credit risk
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42
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Mao, Tiantian
4
Cossette, Hélène
3
Ling, Chengxiu
3
Marceau, Etienne
3
Furman, Edward
2
Mtalai, Itre
2
Peng, Zuoxiang
2
Peters, Gareth W.
2
Shevchenko, Pavel V.
2
Tan, Ken Seng
2
Tsanakas, Andreas
2
Wang, Xing
2
Yang, Fan
2
Adan, Ivo
1
Apaydin, Aysen
1
Asimit, Alexandru V.
1
Badescu, Alexandru M.
1
Barrio, Eustasio del
1
Beirlant, Jan
1
Bernard, Carole
1
Boonen, Tim J.
1
Brandtner, Mario
1
Buitendag, S.
1
Byrnes, Aaron D.
1
Cai, Jun
1
Chaoubi, Ihsan
1
Chen, Die
1
Cheung, Eric C. K.
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Choo, Weihao
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Coqueret, Guillaume
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Dang, Ou
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De Jong, Piet
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Dhaene, Jan
1
Di Bernardino, Elena
1
Eckert, Christian
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Eling, Martin
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Fan, Qi
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Feng, Mingbin
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Fernández-Ponce, J. M.
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Insurance / Mathematics & economics
The journal of operational risk
51
Journal of risk management in financial institutions
42
Journal of banking & finance
30
Risiko-Manager
23
SpringerLink / Bücher
22
Risks : open access journal
21
The journal of risk model validation
18
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
18
Die Bank
17
European journal of operational research : EJOR
13
Journal of financial stability
13
Journal of risk
13
Discussion paper / Tinbergen Institute
12
Stress-testing the banking system : methodologies and applications
12
Economic modelling
11
International review of financial analysis
11
Journal of financial regulation and compliance : an international journal
11
Discussion paper
10
International journal of forecasting
10
Applied economics
9
Finanz-Betrieb : FB ; Zeitschrift für Unternehmensfinanzierung und Finanzmanagement
9
Journal of banking regulation
9
Risikomanagement und Frühwarnverfahren in Kreditinstituten : aktuelle Anforderungen, Instrumente, Prüfung
9
The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association
9
The journal of credit risk : published quarterly by Incisive Media
9
Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen : journal of banking and financial research
8
Bank-Praktiker : rechtssicher, revisionsfest, risikogerecht
8
Finance research letters
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Handbuch ökonomisches Kapitel
8
IMF working papers
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Journal of empirical finance
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Journal of risk and financial management : JRFM
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Risikomanagement im Handelsgeschäft : MaRisk, § 25a KWG, § 44 KWG-Prüfungen, Umsetzungsspielräume
8
The European journal of finance
8
Working papers / Financial Institutions Center
8
Astin bulletin : the journal of the International Actuarial Association
7
Journal of financial econometrics
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Journal of international financial markets, institutions & money
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Journal of securities operations & custody
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ECONIS (ZBW)
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1
Bivariate distribution regression with application to insurance data
Wang, Yunyun
;
Oka, Tatsushi
;
Zhu, Dan
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 215-232
Persistent link: https://www.econbiz.de/10014466213
Saved in:
2
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
3
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
4
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
5
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
Saved in:
6
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
7
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Cheung, Eric C. K.
;
Peralta, Oscar
;
Woo, Jae-Kyung
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 364-389
Persistent link: https://www.econbiz.de/10013380617
Saved in:
8
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
9
Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward
;
Kye, Yisub
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
Saved in:
10
Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan
;
Tan, Ken Seng
;
Yang, Fan
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
Saved in:
11
On sums of two counter-monotonic risks
Chaoubi, Ihsan
;
Cossette, Hélène
;
Gadoury, Simon-Pierre
; …
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 47-60
Persistent link: https://www.econbiz.de/10012242038
Saved in:
12
On log-normal convolutions : an analytical-numerical method with applications to economic capital determination
Furman, Edward
;
Hackmann, Daniel
;
Kuznetsov, Alexey
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 120-134
Persistent link: https://www.econbiz.de/10012169509
Saved in:
13
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
Saved in:
14
Center-outward quantiles and the measurement of multivariate risk
Beirlant, Jan
;
Buitendag, S.
;
Barrio, Eustasio del
; …
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 79-100
Persistent link: https://www.econbiz.de/10012419249
Saved in:
15
Risk aggregation in non-life insurance : standard models vs. internal models
Eling, Martin
;
Jung, Kwangmin
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 183-198
Persistent link: https://www.econbiz.de/10012420134
Saved in:
16
Nonparametric inference for distortion risk measures on tail regions
Hou, Yanxi
;
Wang, Xing
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 92-110
Persistent link: https://www.econbiz.de/10012133516
Saved in:
17
Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 205-215
Persistent link: https://www.econbiz.de/10012058863
Saved in:
18
Collective risk models with dependence
Cossette, Hélène
;
Marceau, Etienne
;
Mtalai, Itre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 153-168
Persistent link: https://www.econbiz.de/10012058960
Saved in:
19
Dependent risk models with Archimedean copulas : a computational strategy based on common mixtures and applications
Cossette, Hélène
;
Marceau, Etienne
;
Mtalai, Itre
; …
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 53-71
Persistent link: https://www.econbiz.de/10011825212
Saved in:
20
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
Zhou, Ming
;
Dhaene, Jan
;
Yao, Jing
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 92-100
Persistent link: https://www.econbiz.de/10011825398
Saved in:
21
Using fuzzy logic to interpret dependent risks
Kemaloglu, Sibel Acik
;
Shapiro, Arnold F.
;
Tank, Fatih
; …
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 101-106
Persistent link: https://www.econbiz.de/10011825407
Saved in:
22
Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.
;
Tsanakas, Andreas
;
Wüthrich, Mario V.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
Saved in:
23
Modeling operational risk incorporating reputation risk : an integrated analysis for financial firms
Eckert, Christian
;
Gatzert, Nadine
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 122-137
Persistent link: https://www.econbiz.de/10011694399
Saved in:
24
Haezendonck-Goovaerts risk measure with a heavy tailed loss
Liu, Qing
;
Peng, Liang
;
Wang, Xing
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 28-47
Persistent link: https://www.econbiz.de/10011774767
Saved in:
25
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
26
A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
Insurance / Mathematics & economics
73
(
2017
),
pp. 156-167
Persistent link: https://www.econbiz.de/10011702063
Saved in:
27
Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura
;
Silvapulla, Param
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 194-201
Persistent link: https://www.econbiz.de/10011530959
Saved in:
28
A simple compound scan statistic useful for modeling insurance and risk management problems
Koutras, Vasileios M.
;
Koutras, Markos V.
;
Yalcin, Femin
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011530961
Saved in:
29
Efficient risk allocation within a non-life insurance group under Solvency II regime
Asimit, Alexandru V.
;
Badescu, Alexandru M.
;
Haberman, …
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 69-76
Persistent link: https://www.econbiz.de/10011442691
Saved in:
30
Risk aggregation in multivariate dependent Pareto distributions
Sarabia Alzaga, José Maria
;
Gómez-Déniz, Emilio
; …
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 154-163
Persistent link: https://www.econbiz.de/10011630633
Saved in:
31
Tail asymptotics of generalized deflated risks with insurance applications
Ling, Chengxiu
;
Peng, Zuoxiang
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 220-231
Persistent link: https://www.econbiz.de/10011630653
Saved in:
32
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
Saved in:
33
On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena
;
Fernández-Ponce, J. M.
; …
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
Saved in:
34
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
Saved in:
35
Capital allocation based on the tail covariance premium adjusted
Wang, Min
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 125-131
Persistent link: https://www.econbiz.de/10010402702
Saved in:
36
Second-order tail asymptotics of deflated risks
Hashorva, Enkelejd
;
Ling, Chengxiu
;
Peng, Zuoxiang
- In:
Insurance / Mathematics & economics
56
(
2014
),
pp. 88-101
Persistent link: https://www.econbiz.de/10010385024
Saved in:
37
Optimal capital allocation in a hierarchical corporate structure
Zaks, Yaniv
;
Tsanakas, Andreas
- In:
Insurance / Mathematics & economics
56
(
2014
),
pp. 48-55
Persistent link: https://www.econbiz.de/10010385035
Saved in:
38
Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 156-167
Persistent link: https://www.econbiz.de/10010469143
Saved in:
39
Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Vatamidou, Eleni
;
Adan, Ivo
;
Vlasiou, Maria
;
Zwart, Bert
- In:
Insurance / Mathematics & economics
53
(
2013
)
2
,
pp. 366-378
Persistent link: https://www.econbiz.de/10010195917
Saved in:
40
Extreme value behavior of aggregate dependent risks
Chen, Die
;
Mao, Tiantian
;
Pan, Xiaoqing
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
50
(
2012
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
Saved in:
41
Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation
Peters, Gareth W.
;
Shevchenko, Pavel V.
;
Young, Mark
; …
- In:
Insurance / Mathematics & economics
49
(
2011
)
3
,
pp. 565-579
Persistent link: https://www.econbiz.de/10009404668
Saved in:
42
Impact of insurance for operational risk : is it worthwhile to insure or be insured for severe losses?
Peters, Gareth W.
;
Byrnes, Aaron D.
;
Shevchenko, Pavel V.
- In:
Insurance / Mathematics & economics
48
(
2011
)
2
,
pp. 287-303
Persistent link: https://www.econbiz.de/10008989317
Saved in:
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