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How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation

Nakamura, Kazuki - In: Finance research letters 58 (2023) 4, pp. 1-5

Persistent link: https://www.econbiz.de/10014633349

Modelling random vectors of dependent risks with different elliptical components

Landsman, Zinoviy; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 6-24

Persistent link: https://www.econbiz.de/10013187281

Evaluating the tail risk of multivariate aggregate losses

Jiang, Wenjun; Ren, Jiandong - In: ASTIN bulletin : the journal of the International … 52 (2022) 3, pp. 921-952

Persistent link: https://www.econbiz.de/10013426668

On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays

Woo, Jae-Kyung - In: Insurance / Mathematics & economics 70 (2016), pp. 354-363

Persistent link: https://www.econbiz.de/10011597325

Multivariate negative binomial models for insurance claim counts

Shi, Peng; Valdez, Emiliano - In: Insurance / Mathematics & economics 55 (2014), pp. 18-29

Persistent link: https://www.econbiz.de/10010366213

Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013367492

Multivariate Fréchet Copulas and Conditional Value-at-Risk

Hürlimann, Werner - 2018

. The model is applied to the evaluation of the economic risk capital for a portfolio of risks using conditional value-at-risk … measures. A multivariate conditional value-at-risk vector measure is considered. Its components coincide for the constructed … multivariate copula with the conditional value-at-risk measures of the risk components of the portfolio. This yields a “fair” risk …

Persistent link: https://www.econbiz.de/10012925439

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - 2016

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test for detecting situations when such pairwise measures are inadequate and give incomplete results. This occurs when a significant portion of the multivariate dependence...

Persistent link: https://www.econbiz.de/10011414706

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 552-580

Persistent link: https://www.econbiz.de/10011623690

Vine copulas and fuzzy inference to evaluate the solvency capital requirement of multivariate dependent risks

Araichi, Sawssen; Almulhim, Tarifa - In: Applied economics 53 (2021) 52, pp. 6058-6074

Persistent link: https://www.econbiz.de/10012650383