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Generalized log-normal chain-ladder
Kuang, D.; Nielsen, Bent - In: Scandinavian actuarial journal 2020 (2020) 6, pp. 553-576
Persistent link: https://www.econbiz.de/10012262754
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On metastability
Miclo, Laurent - 2020
Persistent link: https://www.econbiz.de/10012264698
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Endogenous second moments : a unified approach to fluctuations in risk, dispersion, and uncertainty
Straub, Ludwig; Ulbricht, Robert - In: Journal of economic theory 183 (2019), pp. 625-660
Persistent link: https://www.econbiz.de/10012131380
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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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Ordered random variables
Nadarajah, Saralees; Afuecheta, Emmanuel; Chan, Stephen - In: Opsearch : journal of the Operational Research Society … 56 (2019) 1, pp. 344-366
Persistent link: https://www.econbiz.de/10012008493
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Multivariate marked poisson processes and market related multidimensional information flows
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10012013851
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On stochastic comparisons of series systems with heterogeneous dependent and independent location-scale family distributed components
Kundu, Amarjit; Chowdhury, Shovan - In: Operations research letters 48 (2020) 1, pp. 40-47
Persistent link: https://www.econbiz.de/10012169593
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
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Distributionally robust optimization with infinitely constrained ambiguity sets
Chen, Zhi; Sim, Melvyn; Xu, Huan - In: Operations research 67 (2019) 5, pp. 1328-1344
Persistent link: https://www.econbiz.de/10012107779
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325