Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natural calamities domains
Year of publication: |
September 2017
|
---|---|
Authors: | Guharay, Sabyasachi ; Chang, KC ; Xu, Jie |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 5.2017, 3, p. 1-29
|
Subject: | risk management | simulation | copula | loss severity modeling | Value‐at‐Risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Simulation | Schätztheorie | Estimation theory | Multivariate Verteilung | Multivariate distribution | Risikomodell | Risk model |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks5030041 [DOI] hdl:10419/195889 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob, (2016)
-
Insurance risk capital and risk aggregation : bivariate copula approach
Mejdoub, Hanène, (2019)
-
Alternative capital requirement for insurers : possibilities and issues
Zariņa, Ilze, (2021)
- More ...
-
Guharay, Sabyasachi, (2017)
-
Moral emotions and self-construal in charity advertising : communication on focus
Xu, Jie, (2017)
-
Xu, Jie, (2019)
- More ...