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Search: subject:"Range Value-at-Risk"
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Risiko
13
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12
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11
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11
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8
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8
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5
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Range Value-at-Risk
4
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4
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model uncertainty
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2
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Range Value at Risk (RVaR)
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Range-Value-at-Risk
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range value at risk
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risk bounds
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Bernard, Carole
3
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3
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Shkel, David Sebastian
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4
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2
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1
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1
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1
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1
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1
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ECONIS (ZBW)
15
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1
Optimal reinsurance with multivariate risks and dependence uncertainty
Fadina, Tolulope
;
Hu, Junlei
;
Liu, Peng
;
Xia, Yi
- In:
European journal of operational research : EJOR
321
(
2025
)
1
,
pp. 231-242
Persistent link: https://www.econbiz.de/10015094950
Saved in:
2
Convolution bounds on quantile aggregation
Blanchet, Jose
;
Lam, Henry
;
Liu, Yang
;
Wang, Ruodu
- In:
Operations research
73
(
2025
)
5
,
pp. 2761-2781
Persistent link: https://www.econbiz.de/10015550511
Saved in:
3
Model uncertainty assessment for symmetric and right-skewed distributions
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2025
(
2025
)
5
,
pp. 510-531
Persistent link: https://www.econbiz.de/10015534571
Saved in:
4
Robust distortion risk measures
Bernard, Carole
;
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
5
A comparison of
Range
Value
at
Risk
(RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
Saved in:
6
Optimal reinsurance with model uncertainty and Stackelberg game
Gavagan, Joshua
;
Hu, Liang
;
Lee, Gee
;
Liu, Haiyan
; …
- In:
Scandinavian actuarial journal
2022
(
2022
)
1
,
pp. 29-48
Persistent link: https://www.econbiz.de/10012872645
Saved in:
7
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:
8
On RVaR-based optimal partial hedging
Melnikov, Alexander
;
Wan, Hongxi
- In:
Annals of actuarial science
16
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013342143
Saved in:
9
Comparison of risk forecasts for cryptocurrencies : a focus on
Range
Value
at
Risk
Müller, Fernanda Maria
;
Santos, Samuel Solgon
; …
- In:
Finance research letters
48
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013463260
Saved in:
10
Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario
;
Jiang, Wenjun
;
Ren, Jiandong
- In:
Insurance
107
(
2022
),
pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
Saved in:
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