Tail risk measures using flexible parametric distributions

DOI10.2436/20.8080.02.86zbMATH Open1428.60032OpenAlexW3005762039MaRDI QIDQ5212094FDOQ5212094

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

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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)

Cites Work

• A Primer on Statistical Distributions
• Title not available (Why is that?)
• Generalized beta-generated distributions

Cited In (6)

• The use of flexible quantile-based measures in risk assessment
• Title not available (Why is that?)
• 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
• Tail analysis without parametric models: a worst-case perspective

Uses Software

• flexsurv

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