Results 21 to 30 of about 5,312,301 (290)
Mathematics, 2020 Modeling insurance data using heavy-tailed distributions is of great interest for actuaries. Probability distributions present a description of risk exposure, where the level of exposure to the risk can be determined by “key risk indicators” that usually
Ahmed Z. Afify +2 more
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On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles
Risks, 2018 This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk.
James Ming Chen
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Entropy, 2021 In this article, the “truncated-composed” scheme was applied to the Burr X distribution to motivate a new family of univariate continuous-type distributions, called the truncated Burr X generated family.
Rashad A. R. Bantan +4 more
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Real-Valued Systemic Risk Measures
Mathematics, 2021 We describe the axiomatic approach to real-valued Systemic Risk Measures, which is a natural counterpart to the nowadays classical univariate theory initiated by Artzner et al. in the seminal paper “Coherent measures of risk”, Math. Finance, (1999).
Alessandro Doldi, Marco Frittelli
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From Smile Asymptotics to Market Risk Measures [PDF]
, 2011 The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices.
Artzner +25 more
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Capital Allocation Rules and the No-Undercut Property
Mathematics, 2021 This paper makes the point on a well known property of capital allocation rules, namely the one called no-undercut. Its desirability in capital allocation stems from some stability game theoretical features that are related to the notion of core, both ...
Gabriele Canna +2 more
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Risks, 2023 Simulation-based company valuations are based on an analysis of the risks in the company to be valued. This means that risk analysis is decisively important in a simulation-based business valuation.
Dietmar Ernst
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Law invariant risk measures and information divergences
Dependence Modeling, 2018 Aone-to-one correspondence is drawnbetween lawinvariant risk measures and divergences,which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties.
Lacker Daniel
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Environmental Research Letters, 2018 This addendum adds to the analysis presented in ‘Understanding risks in the light of uncertainty: low-probability, high-impact coastal events in cities’ Abadie et al (2017 Environ. Res. Lett .
Ibon Galarraga +3 more
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Bayesian Predictive Analysis of Natural Disaster Losses
Risks, 2021 Different types of natural events hit the United States every year. The data of natural hazards from 1900 to 2016 in the US shows that there is an increasing trend in annul natural disaster losses after 1980.
Min Deng, Mostafa Aminzadeh, Min Ji
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