Tail risk measures using flexible parametric distributions

DOI10.2436/20.8080.02.86MaRDI QIDQ5212094zbMATH OpenOpenAlexFDO

Authors José María Sarabia, Montserrat Guillen, Helena Chuliá, Faustino Prieto

Publication date 24 January 2020

Full work available at URL http://diposit.ub.edu/dspace/bitstream/2445/153697/1/693933.pdf

zbMATH Keywords

momentsvalue-at-riskmulti-period risk assessment

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5604057 (Why is no real title available?)
• A Primer on Statistical Distributions
• Generalized beta-generated distributions

Cited in

(6)

• Tail analysis without parametric models: a worst-case perspective
• The use of flexible quantile-based measures in risk assessment
• scientific article; zbMATH DE number 7366629 (Why is no real title available?)
• A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
• An alternative nonparametric tail risk measure
• On tail trend detection: modeling relative risk

Describes a project that uses

Uses Software

• flexsurv

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