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: |
2017
|
---|---|
Authors: | Guharay, Sabyasachi ; Chang, KC ; Xu, Jie |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 5.2017, 3, p. 1-29
|
Publisher: |
Basel : MDPI |
Subject: | risk management | simulation | copula | loss severity modeling | Value‐at‐Risk |
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