After VAR: the theory, estimation, and insurance applications of quantile-based risk measures

zbMATH Open1375.91245MaRDI QIDQ4586566FDOQ4586566

Authors: Kevin Dowd, David Blake 

Publication date: 27 October 2017

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited In (12)

• Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
• Range-based risk measures and their applications
• An efficient algorithm to measure the insurance risk of casuality insurance company using VaR methodology
• Estimating allocations for value-at-risk portfolio optimization
• Uncertainty in historical value-at-risk: an alternative quantile-based risk measure
• Smoothed Quantiles for Measuring Discrete Risks
• Intensity-based estimation of extreme loss event probability and value at risk
• Optimal risk transfers in insurance groups
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• Model points and tail-VaR in life insurance
• The Strategic Uses of Value at Risk
• Comparing the small-sample estimation error of conceptually different risk measures

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