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Conditional expectiles, time consistency and mixture convexity properties

Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni - In: Insurance / Mathematics & economics 82 (2018), pp. 117-123

Persistent link: https://www.econbiz.de/10011929844

Parameter Uncertainty and Residual Estimation Risk

Bignozzi, Valeria - 2014

The notion of residual estimation risk is introduced in order to study the impact of parameter uncertainty on capital adequacy, for a given risk measure and capital estimation procedure. Residual estimation risk is derived by applying the risk measure on a portfolio consisting of a random loss...

Persistent link: https://www.econbiz.de/10013065304

Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 821-828

Persistent link: https://www.econbiz.de/10010227817

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013