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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Scandinavian actuarial journal
Insurance / Mathematics & economics
218
Journal of banking & finance
181
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121
European journal of operational research : EJOR
111
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1
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
Saved in:
2
Actuarial pricing with financial methods
Balbás de la Corte, Alejandro
;
Balbás, Beatriz
; …
- In:
Scandinavian actuarial journal
2023
(
2023
)
5
,
pp. 450-476
Persistent link: https://www.econbiz.de/10014336588
Saved in:
3
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
4
Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia
;
Eisenberg, Julia
;
Salterini, Benedetta
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
Saved in:
5
Group cohesion under individual regulatory constraints
Coculescu, Delia
;
Delbaen, Freddy
- In:
Scandinavian actuarial journal
2022
(
2022
)
1
,
pp. 80-93
Persistent link: https://www.econbiz.de/10012872649
Saved in:
6
Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
Glauner, Alexander
- In:
Scandinavian actuarial journal
2022
(
2022
)
4
,
pp. 279-306
Persistent link: https://www.econbiz.de/10013370638
Saved in:
7
An insurer’s optimal strategy towards a new independent business
Chi, Yichun
;
Huang, Yuxia
;
Tan, Ken Seng
- In:
Scandinavian actuarial journal
2024
(
2024
)
1
,
pp. 89-107
Persistent link: https://www.econbiz.de/10014519973
Saved in:
8
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
9
Portfolio optimization with wealth-dependent risk constraints
Escobar, Marcos
;
Wahl, Markus
;
Zagst, Rudi
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 244-268
Persistent link: https://www.econbiz.de/10013370501
Saved in:
10
Bowley reinsurance with asymmetric information : a first-best solution
Boonen, Tim J.
;
Zhang, Yiying
- In:
Scandinavian actuarial journal
2022
(
2022
)
6
,
pp. 532-551
Persistent link: https://www.econbiz.de/10013370720
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11
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
12
Bowley reinsurance with asymmetric information on the insurer's risk preferences
Boonen, Tim J.
;
Cheung, Ka Chun
;
Zhang, Yiying
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 623-644
Persistent link: https://www.econbiz.de/10012624638
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13
Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria
;
Navarro, Jorge
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
Saved in:
14
Two-step risk analysis in insurance ratemaking
Kang, Seul Ki
;
Peng, Liang
;
Golub, Andrew
- In:
Scandinavian actuarial journal
2021
(
2021
)
6
,
pp. 532-542
Persistent link: https://www.econbiz.de/10012588357
Saved in:
15
On copula-based collective risk models : from elliptical copulas to vine copulas
Oh, Rosy
;
Ahn, Jae Youn
;
Lee, Woojoo
- In:
Scandinavian actuarial journal
2021
(
2021
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012484027
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16
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
17
Optimal asset allocation for participating contracts under the VaR and PI constraint
Dong, Yinghui
;
Wu, Sang
;
Lv, Wenxin
;
Wang, Guojing
- In:
Scandinavian actuarial journal
2020
(
2020
)
2
,
pp. 84-109
Persistent link: https://www.econbiz.de/10012195023
Saved in:
18
Focussed selection of the claim severity distribution
Wang, Yinzhi
;
Hobæk Haff, Ingrid
- In:
Scandinavian actuarial journal
2019
(
2019
)
2
,
pp. 129-142
Persistent link: https://www.econbiz.de/10012194941
Saved in:
19
Gibbs posterior inference on value-at-risk
Syring, Nicholas
;
Hong, Liang
;
Martin, Ryan
- In:
Scandinavian actuarial journal
2019
(
2019
)
7
,
pp. 548-557
Persistent link: https://www.econbiz.de/10012194974
Saved in:
20
Extending composite loss models using a general framework of advanced computational tools
Grün, Bettina
;
Miljkovic, Tatjana
- In:
Scandinavian actuarial journal
2019
(
2019
)
8
,
pp. 642-660
Persistent link: https://www.econbiz.de/10012194987
Saved in:
21
Budget-constrained optimal reinsurance design under coherent risk measures
Cheung, Ka Chun
;
Chong, Wing Fung
;
Lo, Ambrose
- In:
Scandinavian actuarial journal
2019
(
2019
)
9
,
pp. 729-751
Persistent link: https://www.econbiz.de/10012194995
Saved in:
22
Representation of concave distortions and applications
Junike, Gero
- In:
Scandinavian actuarial journal
2019
(
2019
)
9
,
pp. 768-783
Persistent link: https://www.econbiz.de/10012194997
Saved in:
23
On additivity of tail comonotonic risks
Cheung, Ka Chun
;
Ling, Hok Kan
;
Tang, Qihe
;
Yam, Sheung …
- In:
Scandinavian actuarial journal
2019
(
2019
)
10
,
pp. 837-866
Persistent link: https://www.econbiz.de/10012195005
Saved in:
24
Conditional risk measures in a bipartite market structure
Kley, Oliver
;
Klüppelberg, Claudia
;
Reinert, Gesine
- In:
Scandinavian actuarial journal
(
2018
)
4
,
pp. 328-355
Persistent link: https://www.econbiz.de/10011881106
Saved in:
25
Multivariate geometric expectiles
Herrmann, Klaus J.
;
Hofert, Marius
;
Mailhot, Mélina
- In:
Scandinavian actuarial journal
(
2018
)
7
,
pp. 629-659
Persistent link: https://www.econbiz.de/10011939715
Saved in:
26
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
Wang, Xing
;
Liu, Qing
;
Hou, Yanxi
;
Peng, Liang
- In:
Scandinavian actuarial journal
(
2018
)
8
,
pp. 661-680
Persistent link: https://www.econbiz.de/10011939722
Saved in:
27
Convex risk measures for the aggregation of multiple information sources and applications in insurance
Papayiannis, G. I.
;
Yannacopoulos, Athanasios N.
- In:
Scandinavian actuarial journal
(
2018
)
9
,
pp. 792-822
Persistent link: https://www.econbiz.de/10011939747
Saved in:
28
Tail mutual exclusivity and Tail-VaR lower bounds
Cheung, Ka Chun
;
Denuit, Michel
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
(
2017
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10011771971
Saved in:
29
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
30
Iterated VaR or CTE measures : a false good idea?
Devolder, Pierre
;
Lebègue, Adrien
- In:
Scandinavian actuarial journal
(
2017
)
4
,
pp. 287-318
Persistent link: https://www.econbiz.de/10011772142
Saved in:
31
Optimal insurance in the presence of reinsurance
Zhuang, Sheng Chao
;
Boonen, Tim J.
;
Tan, Ken Seng
;
Xu, …
- In:
Scandinavian actuarial journal
(
2017
)
6
,
pp. 535-554
Persistent link: https://www.econbiz.de/10011848458
Saved in:
32
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
Saved in:
33
Value at risk and expected shortfall improved calculation based on the power transformation method
Leccadito, Arturo
;
Toscano, Pietro
;
Tunaru, Radu S.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 67-81
Persistent link: https://www.econbiz.de/10011311416
Saved in:
34
A fast Monte Carlo algorithm for estimating value at risk and expected shortfall
Hsieh, Ming-Hua
;
Liao, Wei-Cheng
;
Chen, Chuen-Lung
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 50-66
Persistent link: https://www.econbiz.de/10011311418
Saved in:
35
Risk management models : construction, testing, usage
Jarrow, Robert A.
- In:
The journal of derivatives : the official publication …
18
(
2011
)
3
,
pp. 89-98
Persistent link: https://www.econbiz.de/10009229659
Saved in:
36
The performance of Johnson distributions for computing value at risk and expected shortfall
Simonato, Jean-Guy
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 7-24
Persistent link: https://www.econbiz.de/10009316857
Saved in:
37
Using order statistics to estimate confidence intervals for quantile-based risk measures
Dowd, Kevin
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 9-14
Persistent link: https://www.econbiz.de/10003961010
Saved in:
38
Analytical VaR and expected shortfall for quadratic portfolios
Yueh, Meng-lan
;
Wong, Mark C. W.
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 33-44
Persistent link: https://www.econbiz.de/10003961016
Saved in:
39
An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai
;
Wirjanto, Tony S.
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
Saved in:
40
A new approach to comparing VaR estimation methods
Pérignon, Christophe
;
Smith, Daniel R.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
2
,
pp. 54-66
Persistent link: https://www.econbiz.de/10003795258
Saved in:
41
Using order statistics to estimate confidence intervals for probabilistic risk measures
Dowd, Kevin
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 77-81
Persistent link: https://www.econbiz.de/10003400055
Saved in:
42
Implied volatility indexes and daily value at risk models
Giot, Pierre
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 54-64
Persistent link: https://www.econbiz.de/10003010792
Saved in:
43
Price hedging with local ans aggregate quantity risk
Nam, Jouahn
;
Tucker, Alan L.
;
Wei, Jason
- In:
The journal of derivatives : the official publication …
13
(
2005
)
2
,
pp. 49-69
Persistent link: https://www.econbiz.de/10003299549
Saved in:
44
Life after VaR
Boyle, Phelim P.
;
Hardy, Mary
;
Vorst, Ton
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 48-55
Persistent link: https://www.econbiz.de/10003159545
Saved in:
45
Second generation VaR and risk-adjusted return on capital
Rich, Don R.
- In:
The journal of derivatives : the official publication …
10
(
2003
)
4
,
pp. 51-61
Persistent link: https://www.econbiz.de/10001781764
Saved in:
46
What exactly does credit VaR measure?
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
9
(
2002
)
3
,
pp. 46-59
Persistent link: https://www.econbiz.de/10001708437
Saved in:
47
Beyond the VaR
Longin, François M.
- In:
The journal of derivatives : the official publication …
8
(
2001
)
4
,
pp. 36-48
Persistent link: https://www.econbiz.de/10001613579
Saved in:
48
Estimating VaR with order statistics
Dowd, Kevin
- In:
The journal of derivatives : the official publication …
8
(
2001
)
3
,
pp. 23-30
Persistent link: https://www.econbiz.de/10001581192
Saved in:
49
An empirical evaluation of value at risk by scenario simulation
Abken, Peter A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
Saved in:
50
Value at risk calculations, extreme events, and tail estimation
Neftci, Salih N.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 23-37
Persistent link: https://www.econbiz.de/10001497755
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