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subject:"Risikomaß"
subject:"USA"
~person:"Kumar, Dilip"
~person:"Mao, Tiantian"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Risikomaß
USA
Volatilität
Risikomanagement
15
Risk management
15
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15
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12
Risk
12
Portfolio selection
10
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10
Theorie
10
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downside risk spillover
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Kumar, Dilip
Mao, Tiantian
Wang, Ruodu
16
Embrechts, Paul
12
Hammoudeh, Shawkat
12
McAleer, Michael
11
Cai, Jun
8
Janabi, Mazin A. M. al
8
Li, Jianping
8
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Rüschendorf, Ludger
7
Bernard, Carole
6
Dionne, Georges
6
Goodwin, Barry K.
6
Hayes, Dermot James
6
Karmakar, Madhusudan
6
Mensi, Walid
6
Schuermann, Til
6
Stoja, Evarist
6
Tan, Ken Seng
6
Zhu, Xiaoqian
6
Boonen, Tim J.
5
Brandtner, Mario
5
Cheung, Ka Chun
5
Dias, Alexandra
5
Fabozzi, Frank J.
5
Ghorbel, Ahmed
5
Härdle, Wolfgang
5
Liu, Fangda
5
Mishra, Ashok K.
5
Mitic, Peter
5
Polanski, Arnold
5
Tiwari, Aviral Kumar
5
Yang, Fan
5
Zitikis, Ričardas
5
Al-Yahyaee, Khamis Hamed
4
Alexander, Gordon J.
4
Asimit, Alexandru V.
4
Babcock, Bruce A.
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Insurance / Mathematics & economics
6
Scandinavian actuarial journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Global business review
1
Journal of quantitative economics
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Mathematics of operations research
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Studies in economics and finance
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ECONIS (ZBW)
15
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1
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10
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15
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1
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:
2
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
3
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
4
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:
5
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
6
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
7
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
8
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
9
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:
10
A study of risk spillover in the crude oil and the natural gas markets
Kumar, Dilip
- In:
Global business review
18
(
2017
)
6
,
pp. 1465-1477
Persistent link: https://www.econbiz.de/10011800026
Saved in:
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