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Iterated VaR or CTE measures : a false good idea?

Devolder, Pierre; Lebègue, Adrien - In: Scandinavian actuarial journal (2017) 4, pp. 287-318

Persistent link: https://www.econbiz.de/10011772142

A note on the statistical robustness of risk measures

Zhelonkin, Mikhail; Chavez-Demoulin, Valérie - In: The journal of operational risk 12 (2017) 2, pp. 47-68

Persistent link: https://www.econbiz.de/10011775516

Risk or regulatory capital? : bringing distributions back in the foreground

Guégan, Dominique; Hassani, Bertrand - 2015

Persistent link: https://www.econbiz.de/10011635443

Dual representations for systemic risk measures based on acceptance sets

Arduca, Maria; Koch Medina, Pablo; Munari, Cosimo-Andrea - In: Mathematics and financial economics 15 (2021) 1, pp. 155-184

Persistent link: https://www.econbiz.de/10012433636

Multiple risk measures for multivariate dynamic heavy-tailed models

Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32

Persistent link: https://www.econbiz.de/10011817885

Comparing the riskiness of dependent portfolios via nested L-statistics

Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236

Persistent link: https://www.econbiz.de/10011820567

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

Persistent link: https://www.econbiz.de/10011900226

Risk measures in simulation-based business valuation : classification of risk measures in risk axiom systems and application in valuation practice

Ernst, Dietmar - In: Risks : open access journal 11 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014232597

Automatic Fatou property of law-invariant risk measures

Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei - In: Insurance / Mathematics & economics 105 (2022), pp. 41-53

Persistent link: https://www.econbiz.de/10013348902

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