Search Results - subject:"Tail Value-at-Risk"

Model averaging and grid maps for modeling heavy-tailed insurance data

Mothibe, Lira B.; Shongwe, Sandile C. - In: Risks : open access journal 14 (2026) 1, pp. 1-30

Value-at-Risk (TVaR) at 95% and 99% thresholds, to highlight critical-fit versus tail-risk trade-offs. It is observed that … grid maps simultaneously plot information criteria against risk measures, specifically the Value-at-Risk (VaR) and Tail …

Persistent link: https://www.econbiz.de/10015611274

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - In: Risks : open access journal 13 (2025) 3, pp. 1-23

Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...

Persistent link: https://www.econbiz.de/10015358934

ESG-driven optimal portfolio selection for separated environmental, social, and governance preferences

Shushi, Tomer - In: Operational research : an international journal 25 (2025) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10015592974

Risk bounds under right-tail uncertainty

Bignozzi, Valeria; De Vecchi, Corrado - In: Decisions in economics and finance : a journal of … 48 (2025) 2, pp. 2025-2059

Persistent link: https://www.econbiz.de/10015594553

Robust insurance design with distortion risk measures

Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 316 (2024) 2, pp. 694-706

Persistent link: https://www.econbiz.de/10014575576

Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit

Xiong, Qian; Peng, Zuoxiang; Nadarajah, Saralees - In: Risks : open access journal 11 (2023) 7, pp. 1-26

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have …

Persistent link: https://www.econbiz.de/10014340271

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables

Hanbali, Hamza; Linders, Daniël; Dhaene, Jan - In: Scandinavian actuarial journal 2023 (2023) 3, pp. 219-243

Persistent link: https://www.econbiz.de/10014336322

Risk measures associated with insurance losses in Ghana

Kwofie, Charles; Kumi, Williams; Otoo, Henry; Appiah, … - In: The journal of operational risk 20 (2025) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015461405

Dynamic importance allocated nested simulation for variable annuity risk measurement

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

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

Two-stage nested simulation of tail risk measurement : a likelihood ratio approach

Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Insurance 108 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10013534507