Pages that link to "Item:Q5718354"
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The following pages link to Extreme Value Theory as a Risk Management Tool (Q5718354):
Displaying 50 items.
- Risk averse decision making under catastrophic risk (Q297090) (← links)
- Risk management in portfolio applications of non-convex stochastic programming (Q300194) (← links)
- Copula structured M4 processes with application to high-frequency financial data (Q308364) (← links)
- On average losses in the ruin problem with fractional Brownian motion as input (Q626279) (← links)
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach (Q631479) (← links)
- Conditional value-at-risk in portfolio optimization: coherent but fragile (Q635502) (← links)
- Numerical convergence of the block-maxima approach to the generalized extreme value distribution (Q658475) (← links)
- Measures of risk (Q704052) (← links)
- Multivariate flexible Pareto model: dependency structure, properties and characterizations (Q840785) (← links)
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (Q951337) (← links)
- Extreme-value analysis of teletraffic data (Q956818) (← links)
- High volatility, thick tails and extreme value theory in value-at-risk estimation. (Q1423365) (← links)
- Modeling maxima with autoregressive conditional Fréchet model (Q1739592) (← links)
- A tail adaptive approach for change point detection (Q1755109) (← links)
- A parsimonious parametric model for generating margin requirements for futures (Q1991253) (← links)
- On the usefulness of the logarithmic skew normal distribution for describing claims size data (Q2004090) (← links)
- On the reliability for some bivariate dependent beta and Kumaraswamy distributions: a brief survey (Q2009815) (← links)
- High frequency-based quantile forecast and combination: an application to oil market (Q2086173) (← links)
- A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications (Q2158510) (← links)
- Predicting federal funds rate using extreme value theory (Q2213542) (← links)
- Severity modeling of extreme insurance claims for tariffication (Q2273978) (← links)
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution (Q2296606) (← links)
- Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution (Q2322646) (← links)
- Generalized Pareto distribution fit to medical insurance claims data (Q2369367) (← links)
- Inseparable robust reward-risk optimization models with distribution uncertainty (Q2396920) (← links)
- Time-varying joint distribution through copulas (Q2445695) (← links)
- Catastrophe options with stochastic interest rates and compound Poisson losses (Q2499827) (← links)
- Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models (Q2682986) (← links)
- Extremal characteristics of conditional models (Q2688194) (← links)
- On monitoring financial stress index with extreme value theory (Q2873014) (← links)
- Properties and management applications of a modified stochastic discounting model (Q3008585) (← links)
- Stochastic discounting for cost effective replacements of systems under competing catastrophic risks (Q3020597) (← links)
- Discounted minimum of a random number of random variables in replacement of computer systems (Q3060870) (← links)
- Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management (Q3078179) (← links)
- Conditional risk and acceptability mappings as Banach-lattice valued mappings (Q3224134) (← links)
- ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS (Q3393972) (← links)
- Bayesian analysis of extreme events with threshold estimation (Q3429985) (← links)
- BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY (Q3523606) (← links)
- Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum (Q3540821) (← links)
- Discounted maximum of a random number of random cash flows in optimal decision making (Q3604305) (← links)
- US stock returns: are there seasons of excesses? (Q4554515) (← links)
- Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk (Q5018733) (← links)
- On some inequalities for <i>ψ</i>-mixing sequences and its applications in conditional value-at-risk estimate (Q5078037) (← links)
- Optimal choice of sample fraction in univariate financial tail index estimation (Q5123676) (← links)
- Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model (Q5129006) (← links)
- Strong Consistency of Conditional Value-at-risk Estimate for ϕ-mixing Samples (Q5177607) (← links)
- Gibbs posterior inference on value-at-risk (Q5228142) (← links)
- ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL (Q5297233) (← links)
- CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION (Q5379415) (← links)
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database (Q5715917) (← links)
