Results 11 to 20 of about 138,460 (299)
On the Subadditivity of Tail Value at Risk: An Investigation with Copulas [PDF]
Variance, 2008 In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks.
S. Desmedt, J.-F. Walhin
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Daya Matematis: Jurnal Inovasi Pendidikan Matematika, 2022 Risk management helps the financial industry to manage and estimate the risks that may occur by using risk measures. Financial series data mostly have a heavy tail distribution which causes the probability of extreme values to occur. To overcome these extreme values, it is necessary to apply a mathematical model in calculating risk estimates in ...
Sri Muslihah Bakhtiar +2 more
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A consistent estimator to the orthant-based tail value-at-risk [PDF]
ESAIM: Probability and Statistics, 2018 In this paper, we address the estimation of multivariate value-at-risk (VaR) and tail value-at-risk (TVaR). We recall definitions for the bivariate lower and upper orthant VaR and bivariate lower and upper orthant TVaR, presented in Cossetteet al.[Eur. Actuar. J.3(2013) 321–357 orMethodol. Comput. Appl. Probab.(2014) 1–22].
Nicholas Beck, Mélina Mailhot
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The Truncated Lomax-exponential distribution and its fitting to financial data [PDF]
Journal of Mahani Mathematical Research, 2023 Nowadays, analyzing the losses data of the insurance and asset portfolios has special importance in risk analysis and economic problems. Therefore, having suitable distributions that are able to fit such data, is important.
Shohreh Enamiaraghi
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Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2021 Objective: Portfolio risk measurement has always been one crucial aspect of finance. Several approaches have been modeled through time and some traditional approaches are criticized by researchers.
Adel Behzadi
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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An evaluation of the adequacy of Lévy and extreme value tail risk estimates
Financial InnovationThis study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail targeting of the extreme value (EV) model.
Sharif Mozumder +2 more
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Asymptotic Expansion and Bounds for the Bias of Empirical Tail Value-at-Risk
38 pages, 7 ...
Nadezhda Gribkova +2 more
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Risks, 2023 Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature.
Qian Xiong +2 more
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Jambura Journal of Mathematics, 2023 Value at Risk (VaR) and Tail Value at Risk (TVaR) are two measures that are commonly used to quantify the risk associated with a loss severity distribution.
Ruhiyat Ruhiyat +2 more
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