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Tail value at risk
Incorporating Extreme Events Into Risk Measurement
University of Regina Lecture Notes Michael Kozdron
Modeling Vehicle Insurance Loss Data Using a New Member of T-X Family of Distributions
A New Heavy Tailed Class of Distributions Which Includes the Pareto
An Introduction to Risk Measures for Actuarial Applications
On Approximations of Value at Risk and Expected Shortfall Involving Kurtosis
Risk Measures in Quantitative Finance
Multinomial Var Backtests: a Simple Implicit Approach to Backtesting Expected Shortfall
Computing the Value at Risk of a Portfolio: Academic Literature and Practionners’ Response
On the Subadditivity of Tail-Value at Risk: an Investigation with Copulas
A Survey of Capital Allocation Methods with Commentary Topic 3
Modeling Fundamentals: Evaluating Risk Measures
1 Shortfall Deviation Risk
Expected Shortfall
“Beyond Value-At-Risk: Gluevar Distortion Risk Measures” Belles-Sampera, J.; Guillén, M
Controlling Tail Risk Measures with Estimation Error
The Arcsine Exponentiated-X Family: Validation and Insurance Application
Data and Uncertainty in Extreme Risks-A Nonlinear Expectations
Top View
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
On Partial Stochastic Comparisons Based on Tail Values at Risk
Risk Aggregation and Diversification
Risk Measurements Applied to Basel III and Solvency II
Considering the Right Tail in Risk Management Christian Smart, Ph.D., CCEA Operations Research Analyst Missile Defense Agency
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256-313-9566
Coherent Measures of Risk
Tail Value at Risk. an Analysis with the Normal-Power
Contributions to Statistical Distribution Theory with Applications
“Beyond Value-At-Risk: Gluevar Distortion Risk Measures” Belles-Sampera, J.; Guillén, M
Tail Risk Constraints and Maximum Entropy
Nematrian Function Library Reference Manual
Arxiv:1603.02615V4
An Introduction to Risk Measures for Actuarial Applications
Based on the Notions of Value-At-Risk and Expected Shortfall, We Consider
(Var) and EXPECTED TAIL LOSS (ETL) UNDER a STRESS TESTING FRAMEWORK for TURKISH STOCK MARKET
New Class of Distortion Risk Measures and Their Tail Asymptotics
Tail Risk Measures Using Flexible Parametric Distributions
There Is a Var Beyond Usual Approximations. Towards a Toolkit to Compute Risk Measures of Aggregated Heavy Tailed Risks