Risk measures and Pareto style tails

zbMATH Open1238.91083MaRDI QIDQ2888098FDOQ2888098

Authors: Anna Maria Fiori, Emanuela Rosazza Gianin 

Publication date: 30 May 2012

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zbMATH Keywords

value at risktail indexconditional value at riskscaling rules

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (9)

• Calibrating Distribution Models from PELVE
• Generalized PELVE and applications to risk measures
• Star-Shaped Risk Measures
• Directional entropy and tail uncertainty, with applications to financial hazard
• On two estimates of a risk measure
• Comparing downside risk measures for heavy tailed distributions
• Kurtosis-based risk parity: methodology and portfolio effects
• The statistical analysis of risk measure in Pareto risk model
• Generalized Pareto processes and fund liquidity risk

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