Results 271 to 280 of about 141,342 (308)

Risk measurement for insurance sector with credible tail value-at-risk

AIP Conference Proceedings, 2019
Providing protection against probability of losses is important issue in insurance company. Insurance company must certainly estimate all the risks which can be done by using risk measures. Value-at-Risk (VaR) is one of risk measures that is widely used in insurance industry.
Ferren Alwie, Mila Novita, Suci Fratama Sari   +2 more
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Value at Risk Estimation for Heavy Tailed Distributions [PDF]

The International Journal of Business and Finance Research, 2014
The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR), is the limiting result of an infinity shift of location and
Imed Gammoudi, Lotfi BelKacem, Mohamed El Ghourabi   +2 more
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Value-at-Risk, Tail Value-at-Risk und Schadenverteilung in der Personenversicherung

Blätter der DGVFM, 2006
Zur Herleitung der Gesamtschadenverteilung werden die drei Vorgehensweisen Faltung, Poisson-Approximation und der zentrale Grenzwertsatz vorgestellt. Es werden die Risikomase Value-at-risk und Tail Value-at-risk fur die vorliegende Fragestellung definiert und fur die Normalverteilung allgemein angegeben.
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A predictive approach to quantiles: Application to Value at Risk and Tail Value at Risk

Probability and Mathematical Statistics
Summary: We prove that quantiles are best predictors in a special metric. The best predictor turns out to coincide with the notions of generalized arithmetic mean, exponential barycenter and certainty equivalent. We also show that the computation of tail value at risk (TVaR) reduces to the computation of a quantile with a higher level of confidence ...
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Tail Risk in a Retail Payment System: An Extreme-Value Approach

2018
L’importance croissante que revêt la gestion des risques dans les systèmes de paiement amené à l’élaboration d’un éventail d’outils destinés à atténuer le risque extrême dans ces systèmes. Nous utilisons des méthodes fondées sur la théorie des valeurs extrêmes pour quantifier l’ampleur du risque extrême dans le Système automatisé de compensation et de
Perez-Saiz, Hector, Williams, Blair, Xerri, Gabriel   +2 more
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Fat Tails, Value at Risk, and the Daily Palladium Returns

SSRN Electronic Journal, 2017
The past decade has witnessed the rapid growing of the world palladium market. Thus, it is even more important to develop effective quantitative tools for risk management of palladium assets at this moment. In this paper, we investigate five different types of widely-used statistical distributions and employ the industry standard risk measurement ...
Jianhua Ding, Turen Guo, Bin Guo
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Tail-Related Risk Measures of Extreme Value Distribution

Variance, 2013
This paper adopts the extreme value and VaR approach to investigate the amount of rice damaged due to extreme events and analyzes the collective risk model as a feasible scheme for estimating annual aggregate losses. The results show that the annual frequency of rice damage caused by typhoons is shown to fit well the Poisson distribution with one ...
Li-Hua Lai, Pei-Hsuan Wu
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Value-at-Risk Diversification of $α$-stable Risks: The Tail-Dependence Puzzle

2017
We consider the problem of risk diversification of $α$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to diversification. We confirm the large evidence of sub-additivity violations, particularly for risks with low tail index
Cherubini, Umberto, Neri, Paolo
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Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation

Expert Systems with Applications, 2013
This paper presents a heavy-tailed mixture model for describing time-varying conditional distributions in time series of returns on prices. Student-t component distributions are taken to capture the heavy tails typically encountered in such financial data.
Nikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer   +2 more
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Empirical study of value‐at‐risk and expected shortfall models with heavy tails

The Journal of Risk Finance, 2005
PurposeThis paper aims to test empirically the performance of different models in measuring VaR and ES in the presence of heavy tails in returns using historical data.Design/methodology/approachDaily returns of popular indices (S&P500, DAX, CAC, Nikkei, TSE, and FTSE) and currencies (US dollar vs Euro, Yen, Pound, and Canadian dollar) for over ten ...
Fotios Harmantzis, Linyan Miao, YiFan Chien   +2 more
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