Similar Search Results

Approximations of VAR as an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables

Hannah, Lincoln - 2015

This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or more specifically, subexponential random variables. A key application of this approximation is the calculation of operational VaR (value at risk) for financial institutions, to determine...

Persistent link: https://www.econbiz.de/10013031755

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared … to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a … random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the …

Persistent link: https://www.econbiz.de/10012293140

Proposal for correction of the SCR calculation bias in Solvency II

Hampel, Martin; Pfeifer, Dietmar - In: Zeitschrift für die gesamte Versicherungswissenschaft … 100 (2011) 5, pp. 733-743

Persistent link: https://www.econbiz.de/10009407413

Extreme value statistics using related variables

Ahmed, Hanan - 2022

Persistent link: https://www.econbiz.de/10013263346

Approximating random variables by stochastic integrals

Schweizer, Martin - 1993

Persistent link: https://www.econbiz.de/10000880244

On the absolute Moments of a normally distributed random variable

Moors, J.J.A. - 1973

Persistent link: https://www.econbiz.de/10001391200

WKB Approximation for the Sum of Two Correlated Lognormal Random Variables

Lo, Chi-Fai - 2013

In this paper we apply the idea of the WKB method to derive an effective single lognormal approximation for the probability distribution of the sum of two correlated lognormal variables. An approximate probability distribution of the sum is determined in closed form, and illustrative numerical...

Persistent link: https://www.econbiz.de/10013086536

Tail Approximations for Sum of Randomly Weighted Dependent Random Variables with Applications

Roozegar, Rasool; Toghdori, Abdolsaleh - 2022

There has been much work on the approximation of independent or dependent random variables. But we are not aware of any work giving exact results for the approximation of the sum of randomly weighted random variables. In this paper, we derive results for the randomly weighted sum of dependent...

Persistent link: https://www.econbiz.de/10014240361

Probability bounds for polynomial functions in random variables

He, Simai; Jiang, Bo; Li, Zhening; Zhang, Shuzhong - In: Mathematics of operations research 39 (2014) 3, pp. 889-907

Persistent link: https://www.econbiz.de/10010402949

Moments tensors, Hilbert's identity, and k-wise uncorrelated random variables

Jiang, Bo; He, Simai; Li, Zhening; Zhang, Shuzhong - In: Mathematics of operations research 39 (2014) 3, pp. 775-788

Persistent link: https://www.econbiz.de/10010402957