Results 11 to 20 of about 594 (68)
Are law-invariant risk functions concave on distributions?
Dependence Modeling, 2013 While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions.
Acciaio Beatrice, Svindland Gregor
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Distortion risk measures for sums of dependent losses [PDF]
, 2010 We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum.
Brahimi, Brahim +2 more
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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
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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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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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Statistical estimate of the proportional hazard premium of loss under random censoring [PDF]
, 2016 Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored.
Meraghni, Djamel +2 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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The impact of systemic risk on the diversification benefits of a risk portfolio [PDF]
, 2013 Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time.
Busse, Marc +2 more
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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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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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