Search Results - subject:"Conditional tail expectation"

Dynamic importance allocated nested simulation for variable annuity risk measurement

Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 2, pp. 319-348

Persistent link: https://www.econbiz.de/10013342141

The combined stop-loss and quota-share reinsurance: Conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - In: Risks 9 (2021) 7, pp. 1-21

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this paper, we aim to explore a combination of these...

Persistent link: https://www.econbiz.de/10013200791

The combined stop-loss and quota-share reinsurance : conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - 2021

Persistent link: https://www.econbiz.de/10012598952

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

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

Deep quantile and deep composite triplet regression

Fissler, Tobias; Merz, Michael; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 109 (2023), pp. 94-112

Persistent link: https://www.econbiz.de/10014282471

Market-implied systemic risk and shadow capital adequacy

Chatterjee, Somnath; Jobst, Andreas A. - 2019

Persistent link: https://www.econbiz.de/10012202397

Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation

Mohammed, Nawaf; Furman, Edward; Su, Jianxi - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 425-436

Persistent link: https://www.econbiz.de/10012793935

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

Risk management with Tail Quasi-Linear Means

Bäuerle, Nicole; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 170-187

Persistent link: https://www.econbiz.de/10012194089