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Extreme value behavior of aggregate dependent risks
Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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Testing for Granger causality in distribution tails : an application to oil markets integration
Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285
Persistent link: https://www.econbiz.de/10009729103
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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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Second-order tail asymptotics of deflated risks
Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 56 (2014), pp. 88-101
Persistent link: https://www.econbiz.de/10010385024
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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378
Persistent link: https://www.econbiz.de/10010195917
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura; Silvapulla, Param - In: Insurance / Mathematics & economics 69 (2016), pp. 194-201
Persistent link: https://www.econbiz.de/10011530959
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A simple compound scan statistic useful for modeling insurance and risk management problems
Koutras, Vasileios M.; Koutras, Markos V.; Yalcin, Femin - In: Insurance / Mathematics & economics 69 (2016), pp. 202-209
Persistent link: https://www.econbiz.de/10011530961
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Insights to systematic risk and diversification across a joint probability distribution
Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150
Persistent link: https://www.econbiz.de/10011457218