A nonparametric approach to calculating value-at-risk

DOI10.1016/j.insmatheco.2012.12.008zbMath1284.62635OpenAlexW2046079480MaRDI QIDQ2442522

Ramon Alemany, Montserrat Guillen, Catalina Bolancé

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.12.008

zbMATH Keywords

kernel estimationbandwidth selectionquantilerisk measures

Mathematics Subject Classification ID

Related Items (14)

Data breaches: goodness of fit, pricing, and risk measurement ⋮ Nonparametric mean-lower partial moment model and enhanced index investment ⋮ Modeling long term return distribution and nonparametric market risk estimation ⋮ Smoothed Quantiles for Measuring Discrete Risks ⋮ Uncertainty Comparison Between Value-at-Risk and Expected Shortfall ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ A smooth non-parametric estimation framework for safety-first portfolio optimization ⋮ Extreme quantiles and tail index of a distribution based on kernel estimator ⋮ Two nonparametric approaches to mean absolute deviation portfolio selection model ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ Quantile estimation via distribution fitting ⋮ Fundamentals of Risk Measurement and Aggregation for Insurance Applications

Uses Software

• QRM

Cites Work

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