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1
Semi-nonparametric estimation of operational risk capital with extreme loss events
Chen, Heng Z.
;
Cosslett, Stephen R.
- In:
The journal of operational risk
19
(
2024
)
1
,
pp. 51-86
Persistent link: https://www.econbiz.de/10014490229
Saved in:
2
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Chen, Yu
;
Ma, Mengyuan
;
Sun, Hongfang
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 142-162
Persistent link: https://www.econbiz.de/10014317142
Saved in:
3
Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang
;
Gong, Yishan
;
Liu, Jiajun
- In:
The journal of operational risk
18
(
2023
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10014490082
Saved in:
4
Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang
;
Chen, Yu
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
Saved in:
5
Penalized quasi-likelihood estimation of generalized Pareto regression : consistent identification of risk factors for extreme losses
Meng, Jin
;
Chan, Kung-sik
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 60-75
Persistent link: https://www.econbiz.de/10013264936
Saved in:
6
A two-stage model for high-risk prediction in insurance ratemaking : asymptotics and inference
Hou, Yanxi
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 283-301
Persistent link: https://www.econbiz.de/10013264958
Saved in:
7
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
Goegebeur, Yuri
;
Guillou, Armelle
;
Pedersen, Tine
;
Qin, Jing
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 102-122
Persistent link: https://www.econbiz.de/10013471190
Saved in:
8
Extreme value theory for operational risk in insurance : a case study
Vyskočil, Michal
;
Koudelka, Jiří
- In:
The journal of operational risk
16
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013177451
Saved in:
9
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:
10
Extreme value estimation of the conditional risk premium in reinsurance
Goegebeur, Yuri
;
Guillou, Armelle
;
Qin, Jing
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 68-80
Persistent link: https://www.econbiz.de/10012482751
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