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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

Persistent link: https://www.econbiz.de/10010464782

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702

Risk measures in finance : congruent or contrasting?

Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180

Persistent link: https://www.econbiz.de/10012391033

Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

Effect of risk on the financial performance of Nepalese insurance companies

Nath, Ramesh; Pradham, Radhe Shyam - In: Nepalese journal of finance : a publication of Uniglobe … 10 (2023) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10014495043

Is there a risk premium? : Evidence from thirteen measures

Fracasso, Laís Martins; Müller, Fernanda Maria; … - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 182-199

Persistent link: https://www.econbiz.de/10014490275

Risk analysis of cumulative intraday return curves

Kokoszka, Piotr; Miao, Hong; Stoev, Stilian; Zheng, Ben - In: Journal of time series econometrics 11 (2019) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012022894

Portfolio optimisation using alternative risk measures

Lorimer, Douglas Austen; Van Schalkwyk, Cornelis Hendrik; … - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061498

A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors

Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013187663

Monitoring value-at-risk and expected shortfall forecasts

Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971

Persistent link: https://www.econbiz.de/10014305469