Search Results - subject:"Tail conditional expectation"

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25

Risk measures are commonly used to prepare for a prospective occurrence of an adverse event. If we are concerned with discrete risk phenomena such as counts of natural disasters, counts of infections by a serious disease, or counts of certain economic events, then the required risk forecasts are...

Persistent link: https://www.econbiz.de/10012611739

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012522289

How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation

Nakamura, Kazuki - In: Finance research letters 58 (2023) 4, pp. 1-5

Persistent link: https://www.econbiz.de/10014633349

The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution

Eini, Esmat Jamshidi; Khaloozadeh, Hamid - In: Insurance / Mathematics & economics 98 (2021), pp. 44-50

Persistent link: https://www.econbiz.de/10012545260

A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465

Persistent link: https://www.econbiz.de/10012793936

Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models

Chan, Jennifer So Kuen; Kok Haur Ng; Thanakorn … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10012054882

Conditional tail risk measures for the skewed generalised hyperbolic family

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 86 (2019), pp. 98-114

Persistent link: https://www.econbiz.de/10012058838

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Modelling insurance losses using contaminated generalised beta Type-II distribution

Chan, J. S. K.; Choy, S. T. B.; Makov, U. E.; Landsman, Z. - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 871-904

Persistent link: https://www.econbiz.de/10011875920

A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics

Hendriks, Harrie; Landsman, Zinoviy - In: Scandinavian actuarial journal (2017) 9, pp. 785-803

Persistent link: https://www.econbiz.de/10011848675