Search Results - subject:"Rearrangement Algorithm"

Implementing the rearrangement algorithm: An example from computational risk management

Hofert, Marius - In: Risks 8 (2020) 2, pp. 1-28

After a brief overview of aspects of computational risk management, the implementation of the rearrangement algorithm …. It is demonstrated how a basic implementation of the rearrangement algorithm can gradually be improved to provide a fast …

Persistent link: https://www.econbiz.de/10013200581

Implementing the rearrangement algorithm : an example from computational risk management

Hofert, Marius - In: Risks : open access journal 8 (2020) 2/47, pp. 1-28

Persistent link: https://www.econbiz.de/10012292826

Value-at-risk and models of dependence in the U.S. federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-21

the marginal distributions of losses and provide sharp bounds on VaR using a rearrangement algorithm. Our results are …

Persistent link: https://www.econbiz.de/10012611133

Value-at-risk and models of dependence in the U.S. federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of risk and financial management : JRFM 12 (2019) 2/65, pp. 1-21

the marginal distributions of losses and provide sharp bounds on VaR using a rearrangement algorithm. Our results are …

Persistent link: https://www.econbiz.de/10012022159