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Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios

Tsai, Jeffrey Tzuhao; Lo, Chien-Ling - In: Pacific-Basin finance journal 83 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014491177

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices

Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389

Persistent link: https://www.econbiz.de/10011433225

Measuring expectations

Manski, Charles F. - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1329-1376

Persistent link: https://www.econbiz.de/10002197394

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and …This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Persistent link: https://www.econbiz.de/10011545172