Results 81 to 90 of about 665,207 (240)

The impact of heavy tails and comovements in downside-risk diversification [PDF]

This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio.
Jesus Gonzalo, Jose Olmo
core  

Tail Risk in Weather Derivatives

Commodities
Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen   +2 more
doaj   +1 more source

Producer Perceptions of the Prevention of Tail Biting on UK Farms: Association to Bedding Use and Tail Removal Proportion

Animals, 2019
Tail biting causes widespread problems both for animal welfare and in the form of economic losses in pig production. This study was performed to better understand the perceptions of farmers on how to best prevent tail biting, and if perceptions are ...
Anna Valros, Claire Barber
doaj   +1 more source

Modelling Censored Losses Using Splicing: a Global Fit Strategy With Mixed Erlang and Extreme Value Distributions

, 2017
In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due to the ...
Antonio, Katrien, Beirlant, Jan, Reynkens, Tom, Verbelen, Roel   +3 more
core   +1 more source

Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants

, 2022
Nadezhda Gribkova, Jianxi Su, Ričardas Zitikis   +2 more
openalex   +1 more source

Some Comments on QIS3. [PDF]

In this paper we discuss some issues proposed in the Solvency II - QIS3 report. In particular we comment and discuss the \AISAM-ACME study on non-life long tail liabilities; reserve risk and risk margin assessment under Solvency II".
Dhaene, Jan, Goovaerts, Marc, Van Weert, Koen   +2 more
core  

There is a VaR beyond usual approximations [PDF]

, 2013
Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log returns of ...
Kratz, Marie
core   +3 more sources

The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios [PDF]

Tails are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context risk management tools require simulations that accurately capture the tails, and optimization models that limit tail ...
Norbert Jobst, Stavros A. Zenios
core  

Tail Conditional Expectation for vector-valued Risks [PDF]

In his paper we introduce a quantile-based risk measure for multivariate financial positions "the vector-valued Tail-conditional-expectation (TCE)". We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios ...
Imen Bentahar
core  

Tail Risk of International Equity Market and Oil Volatility

, 2023
Juandan Zhong
openalex   +1 more source