Search Results - subject:"tail value at risk"

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025

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

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

Dynamic importance allocated nested simulation for variable annuity risk measurement

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

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

Multivariate TVaR-based risk decomposition for vector-valued portfolios

Mailhot, Mélina; Mesfioui, Mhamed - In: Risks 4 (2016) 4, pp. 1-16

orthant tail value-at-risk can be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk …

Persistent link: https://www.econbiz.de/10011709569

Multivariate TVaR-based risk decomposition for vector-valued portfolios

Mailhot, Mélina; Mesfioui, Mhamed - In: Risks : open access journal 4 (2016) 4, pp. 1-16

orthant tail value-at-risk can be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk …

Persistent link: https://www.econbiz.de/10011556505

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk: The multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riçcardas - In: Risks 1 (2013) 1, pp. 14-33

allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail … value at risk. We derive formulas that are either of closed form or follow well-defined recursive procedures. In either case …

Persistent link: https://www.econbiz.de/10010421285

Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks 1 (2013) 1, pp. 14-33

Persistent link: https://www.econbiz.de/10011030568

Risk management of a bond portfolio using options

ANNAERT, J.; DEELSTRA, G.; HEYMAN, D.; VANMAELE, M. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2007

Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio …

Persistent link: https://www.econbiz.de/10004982977