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A general class of distortion operators for pricing contingent claims with applications to CAT bonds

Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Scandinavian actuarial journal 2019 (2019) 7, pp. 558-584

Persistent link: https://www.econbiz.de/10012194976

Extreme value estimation of the conditional risk premium in reinsurance

Goegebeur, Yuri; Guillou, Armelle; Qin, Jing - In: Insurance / Mathematics & economics 96 (2021), pp. 68-80

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Effect of risk on the financial performance of Nepalese insurance companies

Nath, Ramesh; Pradham, Radhe Shyam - In: Nepalese journal of finance : a publication of Uniglobe … 10 (2023) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10014495043

Optimal reinsurance with expectile under the Vajda condition

Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10012500128

Risk measures-based cluster methods for finance

Guedes, Pablo Cristini; Müller, Fernanda Maria; Righi, … - In: Risk management : an international journal 25 (2023) 1, pp. 1-56

Persistent link: https://www.econbiz.de/10013490814

Loss function-based change point detection in risk measures

Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431

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Modified expected shortfall : a new robust coherent risk measure

Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83

Persistent link: https://www.econbiz.de/10013262918

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

Persistent link: https://www.econbiz.de/10010258580

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10010235455

A representation of risk measures

Amarante, Massimiliano - 2013

Persistent link: https://www.econbiz.de/10010230249