distributed risk factors. Our results aim to correct inaccuracies that originate in and are present also in at least thirty other … resulting economic impact in financial risk management applications could be significant. We further correct such errors …

distribution of losses that tends to have a heavy right tail. As opposed to a widely used Value-at-Risk, TCE is a coherent risk … and multivariate data on Danish fire losses. TCE risk measure computed for the skewed family of GH distributions provides … conservative estimators of risk, addressing the main challenge faced by insurance companies on how to reliably quantify the risk …

The risk exposure of a business line could be perceived in many ways and is sensitive to the exercise that is performed …. One way is to understand the effect of some common/reference risk over the performance of the business line in question … scenarios. That is, measuring the tail risk is the main aim. We choose to evaluate the performance via an expectation, which is …