Results 21 to 30 of about 47,086,790 (308)
Implications of Heavy-Tailed Loss Distributions for Reinsurance and Solvency Capital: Evidence from US and Egyptian Insurance Markets (2020-2023) [PDF]
Maǧallaẗ Al-Buḥūṯ Al-TiǧāriyyaẗThis study aims to compare the performance of heavy-tailed probability distributions in modelingextreme insurance losses, with a focus on their implications for risk capital assessment and reinsurance pricing.
محمود فخرى محمد حماد
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On multivariate extensions of Value-at-Risk [PDF]
Journal of Multivariate Analysis, 2013 In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the ...
Areski Cousin, Elena Di Bernadino
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Incorporating stand level risk management options into forest decision support systems
Forest Systems, 2018 Aim of study: To examine methods of incorporating risk and uncertainty to stand level forest decisions. Area of study: A case study examines a small forest holding from Jönköping, Sweden.
Kyle Eyvindson +2 more
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International Journal of General Systems, 2017 The paper suggests looking on probabilistic risk quantities and concepts through the prism of accepting one of the views: whether a true value of risk exists or not.
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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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On the factors of Bitcoin’s value at risk
Financial Innovation, 2021 This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR.
Ji Ho Kwon
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Journal of Modern Power Systems and Clean Energy, 2019 In power market environment, the growing importance of demand response (DR) and renewable energy source (RES) attracts more for-profit DR and RES aggregators to compete with each other to maximize their profit.
Tirthadip Ghose +2 more
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Comparison of Value at Risk, Expected Shortfall, and Range Value at Risk with numerical examples
, 2022 This thesis intends to examine three risk measures - Value at Risk (VaR), Expected Shortfall (ES) and Range Value at Risk (RVaR), used to forecast probable future losses.
Otieno, Maryanne
core
THE ROLE OF VALUE AT RISK IN THE MANAGEMENT OF ASSET AND LIABILITIES [PDF]
Annals of the University of Oradea: Economic Science, 2012 ALM is the management of risk at enterprise level, the models used in ALM can be static or dynamic: single period-static models, multiple period static model, single period stochastic model, multi period stochastic model. While single period-static don't
Petria Nicolae +2 more
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Risk Aversion and the Value of Risk to Life [PDF]
Journal of Risk and Insurance, 2004 This paper argues for an alternative methodology to estimate the value of risk to life. By relaxing the assumption of additive separability, we introduce risk aversion with respect to the length of life and show that the extended model better fits available data.
Villeneuve, Bertrand, Bommier, Antoine
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