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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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Nonparametric inference for distortion risk measures on tail regions
Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110
Persistent link: https://www.econbiz.de/10012133516
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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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On sums of two counter-monotonic risks
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; … - In: Insurance / Mathematics & economics 92 (2020), pp. 47-60
Persistent link: https://www.econbiz.de/10012242038
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On log-normal convolutions : an analytical-numerical method with applications to economic capital determination
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey - In: Insurance / Mathematics & economics 90 (2020), pp. 120-134
Persistent link: https://www.econbiz.de/10012169509
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Haezendonck-Goovaerts risk measure with a heavy tailed loss
Liu, Qing; Peng, Liang; Wang, Xing - In: Insurance / Mathematics & economics 76 (2017), pp. 28-47
Persistent link: https://www.econbiz.de/10011774767
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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
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Dependent risk models with Archimedean copulas : a computational strategy based on common mixtures and applications
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; … - In: Insurance / Mathematics & economics 78 (2018), pp. 53-71
Persistent link: https://www.econbiz.de/10011825212
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An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
Zhou, Ming; Dhaene, Jan; Yao, Jing - In: Insurance / Mathematics & economics 79 (2018), pp. 92-100
Persistent link: https://www.econbiz.de/10011825398