Results 151 to 160 of about 48,841,878 (206)

Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk

Insurance: Mathematics and Economics, 2021
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Liu, Haiyan, Mao, Tiantian
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Risk sharing with Lambda value at risk

SSRN Electronic Journal, 2023
In this paper, we study the risk-sharing problem among multiple agents using lambda value at risk ([Formula: see text]) as their preferences via the tool of inf-convolution, where [Formula: see text] is an extension of value at risk ([Formula: see text]).
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Value at Risk [PDF]

open access: possibleThe Journal of Derivatives, 1997
In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk. Previous research has identified differences in models, or Model Risk, as an important impediment to developing a Value at Risk standard. By contrast,
Christopher Marshall, Michael Siegel
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Non-Linear Value-at-Risk

SSRN Electronic Journal, 1999
Abstract Value-at-risk methods which employ a linear (“delta only”) approximation to the relation between instrument values and the underlying risk factors are unlikely to be robust when applied to portfolios containing non-linear contracts such as options.
Britten-Jones, Mark   +1 more
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