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Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns

Lesniewski, Andrew - 2016

We develop explicit asymptotic expansions of the portfolio Value-at-Risk (VaR) and portfolio Expected Shortfall (ES) for a large family of multivariate elliptical distributions. The family includes distributions of exponential type such as Kotz distributions, and power type such as the...

Persistent link: https://www.econbiz.de/10012996706

Stochastic Orders and Moments of Absolute Value of Normal Random Variable

Comlan, Emile C. Bonaventure - 2018

It is already known, under certain conditions including stochastic inequalities, the comparison of moments. In this paper, we will study in detail the reverse of this problem, that is, the stochastic orderings implied by moments inequalities. We will limit our study to the absolute value of...

Persistent link: https://www.econbiz.de/10012921588

Investments as Probability Distributions

Jacobsen, Brian - 2010

The core of the theory behind portfolio construction was developed in 1956 by Harry Markowitz. Many pages have been … theory. I cannot recommend enough the insights provided in Modern Portfolio Theory and Investment Analysis, 8/e, by Edwin … the original integrity behind Markowitz's insights and addresses many of the criticisms of the theory …

Persistent link: https://www.econbiz.de/10013147812

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

Asimit, Alexandru Vali - 2013

Persistent link: https://www.econbiz.de/10013076306

PELVE : probability equivalent level of VaR and ES

Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370

Persistent link: https://www.econbiz.de/10014364915

A heuristic for fat-tailed stock market returns

Welch, Ivo - In: Financial analysts journal : FAJ 80 (2024) 4, pp. 18-26

Persistent link: https://www.econbiz.de/10015195218

Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093

Different probability distributions for portfolio selection in the chance constrained compromise programming model

Boswarva, Ian; Aouni, Belaïd - In: INFOR : information systems and operational research 50 (2012) 3, pp. 140-146

Persistent link: https://www.econbiz.de/10009748814

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