Results 11 to 20 of about 575 (49)
Multivariate extensions of expectiles risk measures
Dependence Modeling, 2017 This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures.
Maume-Deschamps Véronique +2 more
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Regulator-based risk statistics for portfolios
, 2020 Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk.
Deng, Xiaochuan, Sun, Fei
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Dependence Modeling, 2019 The relationship between the European stock market and the crude oil depends on the significance of the different industries in the European economy. The literature points to a structural change after the 2008 crisis without getting into details of which
Ferreiro Javier Ojea
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Another approach to the evaluation of a certain multivariate compound distribution
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2016 In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in the same time an insurance portfolio under some specific assumptions related to the number of ...
Robe-Voinea Elena-Gratiela +1 more
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VaR bounds in models with partial dependence information on subgroups
Dependence Modeling, 2017 We derive improved estimates for the model risk of risk portfolios when additional to the marginals some partial dependence information is available.We consider models which are split into k subgroups and consider various classes of dependence ...
Rüschendorf Ludger, Witting Julian
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Superreplication under Volatility Uncertainty for Measurable Claims [PDF]
, 2012 We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be quasi-continuous ...
Neufeld, Ariel, Nutz, Marcel
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Risk bounds with additional information on functionals of the risk vector
Dependence Modeling, 2018 We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where besides the marginal distributions also information on the distribution or on the expectation of some functionals Tj(X), 1 ≤ j ≤ m, is available.
Rüschendorf L.
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A Lundberg-type inequality for an inhomogeneous renewal risk model
, 2015 We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times.
Andrulytė, Ieva Marija +3 more
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Ruin probabilities and decompositions for general perturbed risk processes [PDF]
, 2003 We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation.
Huzak, Miljenko +3 more
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A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
, 2013 We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$.
Bauerle, Nicole, Bayraktar, Erhan
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