A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy

Recommendations

Tail risk measures using flexible parametric distributions
Tail approximation for reinsurance portfolios of Gaussian-like risks
Portfolio insurance under a risk-measure constraint
Tail distortion risk measure for portfolio with multivariate regularly variation
A theory for measures of tail risk
Tail nonlinearly transformed risk measure and its application
Tail risk measures and portfolio selection
Tail Variance Premium with Applications for Elliptical Portfolio of Risks
Measuring the tail risk: an asymptotic approach
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming

Cites work

scientific article; zbMATH DE number 1869203 (Why is no real title available?)
A composite risk measure framework for decision making under uncertainty
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes
An Actuarial Index of the Right-Tail Risk
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
An introduction to computational risk management of equity-linked insurance
Analytical calculation of risk measures for variable annuity guaranteed benefits
Applications of central limit theorems for equity-linked insurance
Axiomatic characterization of insurance prices
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
Coherent measures of risk
Comonotonic asset prices in arbitrage-free markets
Consistent modeling of risk averse behavior with spectral risk measures
Convex measures of risk and trading constraints
Effectiveness of CPPI strategies under discrete-time trading
Fair dynamic valuation of insurance liabilities via convex hedging
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
GlueVaR risk measures in capital allocation applications
Insurance pricing and increased limits ratemaking by proportional hazards transforms
Investment guarantees: Modeling and risk management for equity-linked life insurance
Myopic Loss Aversion and the Equity Premium Puzzle
Portfolio insurance: gap risk under conditional multiples
Properties of distortion risk measures
RISK MEASURES: RATIONALITY AND DIVERSIFICATION
Remarks on quantiles and distortion risk measures
Risk Measures and Comonotonicity: A Review
Risk based capital for guaranteed minimum withdrawal benefit
Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
Risk preferences and their robust representation
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
The concept of comonotonicity in actuarial science and finance: applications.
The concept of comonotonicity in actuarial science and finance: theory.
The connection between distortion risk measures and ordered weighted averaging operators
Theory of capacities
Theory of constant proportion portfolio insurance
VWAP execution as an optimal strategy

Cited in

(5)

Monotone tail functions: definitions, properties, and application to risk-reducing strategies
Tail risk measures using flexible parametric distributions
Tail-risk protection trading strategies
Empirical tail risk management with model-based annealing random search
scientific article; zbMATH DE number 7366629 (Why is no real title available?)

This page was built for publication: A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2152243)