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Search: subject:"range value at risk"
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11
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8
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Bernard, Carole
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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Insurance / Mathematics & economics
4
ASTIN bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
13
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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
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:
3
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:
4
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:
5
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:
6
Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario
;
Jiang, Wenjun
;
Ren, Jiandong
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
Saved in:
7
On RVaR-based optimal partial hedging
Melnikov, Alexander
;
Wan, Hongxi
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013342143
Saved in:
8
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:
9
Der
Range
Value
at
Risk
: eine robuste Alternative zum Expected Shortfall
Shkel, David Sebastian
- In:
Wirtschaftswissenschaftliches Studium : WiSt ; …
50
(
2021
)
12
,
pp. 4-11
Persistent link: https://www.econbiz.de/10012792966
Saved in:
10
Range
value-at-risk
bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
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