Results 1 to 10 of about 2,051,678 (269)
Stochastic NPV Based vs Stochastic LCOE Based Power Portfolio Selection Under Uncertainty
Energies, 2020 This paper investigates the problem of power portfolio selection under uncertainty using two different metrics, namely the stochastic Net Present Value (NPV) and the stochastic Levelized Cost of Electricity (LCOE).
Carlo Mari
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Conditional Tail Expectation and Premium Calculation under Asymmetric Loss
Axioms, 2023 In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses.
Enrique Calderín-Ojeda +2 more
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The concept of value at risk (VaR) and risk regulatory in Montenegro
Acta Economica, 2014 The concept of value at risk (Value at Risk - VaR) is a measure that is increasingly used for assessing the level of exposure of financial markets’ participants.
Јулија Церовић
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Tail Dependence in Financial Markets: A Dynamic Copula Approach
Risks, 2019 This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model’s parameters and in the ...
Federico Pasquale Cortese
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Designing of Optimal Reinsurance Indemnity
Mathematics, 2022 This paper contributes to relevant research in the area of optimal reinsurance indemnity and deals with the risk measures that are used in reinsurance. The research aims at finding optimal reinsurance contracts under different risk levels.
Viktorija Skvarciany +1 more
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Computational Journal of Mathematical and Statistical SciencesThe Lomax distribution, which is often used to describe severe losses and financial risks because of its heavy tail features, is the basis distribution of the shifted Lomax (SHL-X) family of distributions that we propose in this study. The main objective
Mintodê Nicodème Atchadé +4 more
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Effects of the Age Process on Aggregate Discounted Claims
Risks, 2018 In this document, we examine the effects of the age process on aggregate discounted claims by studying the conditional raw and joint moments, the moment generating function and the distribution function of the increments of compound renewal sums with ...
Ghislain Léveillé +2 more
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A Measure of Redenomination Risk [PDF]
SSRN Electronic Journal, 2015 Euro redenomination risk is the risk that a euro asset will be redenominated into a devalued legacy currency. We propose a time-varying, country-specific market perception of intra-euro area redenomination risk measure, defined as the quanto CDS of a member country relative to the quanto CDS of a benchmark member country.
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Review of Financial Studies, 2010 We present a simple model of systemic risk and we show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensity to be undercapitalized when the system as a whole is undercapitalized.
Viral V. Acharya +3 more
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Measuring the Downside Risk of Green IT Investments: An Inequality-Theoretic Approach [PDF]
E3S Web of ConferencesThis paper establishes an innovative analogy between the measurement of economic inequality and the financial risk management of sustainable technology investments.
Mohammed Berkhouch
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