We analyze the relation between digitalization and the market value of US insurance companies. To create a text-based measure that captures the extent to which insurers digitalize, we apply an unsupervised machine learning algorithm - Latent Dirichlet Allocation - to their annual reports. We...

A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both...

We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our new test of unconditional coverage can be used for both one-sided and two-sided testing, which leads to a significantly increased power. Second, we stress the...