We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …

book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and …Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market … risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it …

innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and …Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative … approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The …