Search Results - subject:"stop loss"

Bowley-optimal convex-loaded premium principles

Ghossoub, Mario; Li, Bin; Shi, Benxuan - In: Insurance : mathematics and economics 121 (2025), pp. 157-180

Persistent link: https://www.econbiz.de/10015432042

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

An intelligent trading mechanism based on the group trading strategy portfolio to reduce massive loss by the grouping genetic algorithm

Hao, Cheng Chun; Chen, Yu-Hsuan; García Díaz, Vicente; … - In: Electronic commerce research 23 (2023) 1, pp. 3-42

Persistent link: https://www.econbiz.de/10014251581

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

Integrated intellectual investment portfolio as an efficient instrument to manage personal financial investment

Rutkauskas, Aleksandras Vytautas; Stasytytė, Viktorija - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-22

The redistribution of resources in global stock markets is prevalent: the capital is transferred from one investor to another. Sometimes, earning a substantial return in the stock market seems complicated to implement for an individual investor. Investing contributes to the welfare of society...

Persistent link: https://www.econbiz.de/10013201334

Stochastic orders and measures of skewness and dispersion based on expectiles

Eberl, Andreas; Klar, Bernhard - In: Statistical Papers 64 (2022) 2, pp. 509-527

Recently, expectile-based measures of skewness akin to well-known quantile-based skewness measures have been introduced, and it has been shown that these measures possess quite promising properties (Eberl and Klar in Comput Stat Data Anal 146:106939, 2020; Scand J Stat, 2021,...

Persistent link: https://www.econbiz.de/10015179199

Effect of stop-loss reinsurance on primary insurer solvency

Constantinescu, Corina; Dias, Alexandra; Li, Bo; Siska, … - In: Risks : open access journal 10 (2022) 10, pp. 1-15

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … to the 99.5% value-at-risk of its surplus. Specifically, we show that under a stop-loss contract, the ruin probability …

Persistent link: https://www.econbiz.de/10013556669

Integrated intellectual investment portfolio as an efficient instrument to manage personal financial investment

Rutkauskas, Aleksandras Vytautas; Stasytytė, Viktorija - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012813900

Bivariate copula trees for gross loss aggregation with positively dependent risks

Wójcik, Rafał; Liu, Charlie Wusuo - In: Risks : open access journal 10 (2022) 8, pp. 1-24

We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula families are studied. At every branching node, the...

Persistent link: https://www.econbiz.de/10013368496

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature …

Persistent link: https://www.econbiz.de/10013272630

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