How to estimate the value at risk under incomplete information
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Publication:847172
DOI10.1016/J.CAM.2009.10.007zbMATH Open1182.91099OpenAlexW2072299139MaRDI QIDQ847172FDOQ847172
Authors: Bart Heijnen, Ann De Schepper 
Publication date: 12 February 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.10.007
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- General restrictions on tail probabilities
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- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
- Distribution-free option pricing
- Insurance calculations using incomplete information
- Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
- Best upper bounds on risks altered by deductibles under incomplete information
- Title not available (Why is that?)
Cited In (14)
- Range value-at-risk bounds for unimodal distributions under partial information
- Upper bounds for strictly concave distortion risk measures on moment spaces
- In search of robust methods for multi-currency portfolio construction by value at risk
- The practical research on flood risk analysis based on IIOSM and fuzzy \(\alpha \)-cut technique
- Moment Problem and Its Applications to Risk Assessment
- Assessing model risk in financial and energy markets using dynamic conditional vars
- Robust distortion risk measures
- On distributional robust probability functions and their computations
- Analysis of risk bounds in partially specified additive factor models
- Optimal retention for a stop-loss reinsurance with incomplete information
- Computing best bounds for nonlinear risk measures with partial information
- Probability-unbiased Value-at-Risk estimators
- Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
- Worst-case range value-at-risk with partial information
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