Results 31 to 40 of about 2,051,678 (269)
Liquidity, Risk Measures, and Concentration of Measure [PDF]
Mathematics of Operations Research, 2018 This paper studies curves of the form (ρ(λX))λ≥0, called risk profiles, where ρ is a convex risk measure and X a random variable. Financially, this captures the sensitivity of risk to the size of the investment in X, which the original axiomatic foundations of convex risk measures suggest to interpret as liquidity risk.
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Journal of Business & Economic Statistics, 2013 We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional risk measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semiparametric models.
Hurlin, Christophe +3 more
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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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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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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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Quantifying insurance risks: Monte Carlo simulations and capital requirements [PDF]
Insurance Markets and CompaniesType of the article: Research Article AbstractThe increasing complexity of insurance risks within the Solvency II regulatory framework highlights the need for accurate quantitative tools to assess the capital adequacy of insurance companies and model ...
Michal Páleš +4 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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IEEE AccessThe study attempts to propose a conceptual framework for evaluating public healthcare service quality in the Indian context. First, it aims to construct and validate the Public HealthCare Service Quality (PubHCServQual) scale for three decision models ...
Rupal Khambhati +5 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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Risk measures and the distribution of damage curves for 600 European coastal cities
Environmental Research Letters, 2019 A good understanding of climate change damages is vital to design effective adaptation policies and measures. Using a dataset of probabilistic sea-level rise and other of flood damages and protection cost curves for the 600 largest European coastal ...
L M Abadie +3 more
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