Shen, Zhiyi; Liu, Yukun; Weng, Chengguo Nonparametric inference for VaR, CTE, and expectile with high-order precision. (English) Zbl 1426.91311 N. Am. Actuar. J. 23, No. 3, 364-385 (2019). MSC: 91G70 62P05 62G05 PDF BibTeX XML Cite \textit{Z. Shen} et al., N. Am. Actuar. J. 23, No. 3, 364--385 (2019; Zbl 1426.91311) Full Text: DOI OpenURL
Sun, Yunpeng; Mendoza-Arriaga, Rafael; Linetsky, Vadim Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk. (English) Zbl 1425.60047 Adv. Appl. Probab. 49, No. 2, 481-514 (2017). MSC: 60G51 60J28 PDF BibTeX XML Cite \textit{Y. Sun} et al., Adv. Appl. Probab. 49, No. 2, 481--514 (2017; Zbl 1425.60047) Full Text: DOI OpenURL
Lönnbark, Carl Approximation methods for multiple period value at risk and expected shortfall prediction. (English) Zbl 1468.91194 Quant. Finance 16, No. 6, 947-968 (2016). MSC: 91G70 62M10 PDF BibTeX XML Cite \textit{C. Lönnbark}, Quant. Finance 16, No. 6, 947--968 (2016; Zbl 1468.91194) Full Text: DOI OpenURL
Park, Myung Hyun; Kim, Joseph H. T. Estimating extreme tail risk measures with generalized Pareto distribution. (English) Zbl 1468.62155 Comput. Stat. Data Anal. 98, 91-104 (2016). MSC: 62-08 62F10 62F12 62P05 PDF BibTeX XML Cite \textit{M. H. Park} and \textit{J. H. T. Kim}, Comput. Stat. Data Anal. 98, 91--104 (2016; Zbl 1468.62155) Full Text: DOI OpenURL
Pitselis, Georgios Credible risk measures with applications in actuarial sciences and finance. (English) Zbl 1371.91195 Insur. Math. Econ. 70, 373-386 (2016). MSC: 91G70 62P05 91B30 PDF BibTeX XML Cite \textit{G. Pitselis}, Insur. Math. Econ. 70, 373--386 (2016; Zbl 1371.91195) Full Text: DOI OpenURL
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure. (English) Zbl 1296.91142 Insur. Math. Econ. 55, 78-90 (2014). MSC: 91B30 62G20 62G30 PDF BibTeX XML Cite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, Insur. Math. Econ. 55, 78--90 (2014; Zbl 1296.91142) Full Text: DOI OpenURL
Tang, Qihe; Yuan, Zhongyi Asymptotic analysis of the loss given default in the presence of multivariate regular variation. (English) Zbl 1412.91056 N. Am. Actuar. J. 17, No. 3, 253-271 (2013). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, N. Am. Actuar. J. 17, No. 3, 253--271 (2013; Zbl 1412.91056) Full Text: DOI OpenURL
Kim, Joseph H. T.; Jeon, Yongho Credibility theory based on trimming. (English) Zbl 1284.91245 Insur. Math. Econ. 53, No. 1, 36-47 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{J. H. T. Kim} and \textit{Y. Jeon}, Insur. Math. Econ. 53, No. 1, 36--47 (2013; Zbl 1284.91245) Full Text: DOI OpenURL
Huang, Pu; Subramanian, Dharmashankar Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints. (English) Zbl 1282.90112 Comput. Manag. Sci. 9, No. 4, 441-458 (2012). MSC: 90C15 91G10 PDF BibTeX XML Cite \textit{P. Huang} and \textit{D. Subramanian}, Comput. Manag. Sci. 9, No. 4, 441--458 (2012; Zbl 1282.90112) Full Text: DOI Link OpenURL
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. Large sample behavior of the CTE and VaR estimators under importance sampling. (English) Zbl 1291.91087 N. Am. Actuar. J. 15, No. 3, 393-416 (2011). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, N. Am. Actuar. J. 15, No. 3, 393--416 (2011; Zbl 1291.91087) Full Text: DOI OpenURL
Russo, Ralph P.; Shyamalkumar, Nariankadu D. Bounds for the bias of the empirical CTE. (English) Zbl 1231.91231 Insur. Math. Econ. 47, No. 3, 352-357 (2010). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{R. P. Russo} and \textit{N. D. Shyamalkumar}, Insur. Math. Econ. 47, No. 3, 352--357 (2010; Zbl 1231.91231) Full Text: DOI OpenURL
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. An asymptotic analysis of the bootstrap bias correction for the empirical CTE. (English) Zbl 1219.62071 N. Am. Actuar. J. 14, No. 2, 217-234 (2010). MSC: 62G09 62G07 60F05 62G20 65C60 PDF BibTeX XML Cite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, N. Am. Actuar. J. 14, No. 2, 217--234 (2010; Zbl 1219.62071) Full Text: DOI OpenURL
Necir, Abdelhakim; Rassoul, Abdelaziz; Zitikis, Ričardas Estimating the conditional tail expectation in the case of heavy-tailed losses. (English) Zbl 1200.91142 J. Probab. Stat. 2010, Article ID 596839, 17 p. (2010). MSC: 91B30 62G05 62G32 91G70 PDF BibTeX XML Cite \textit{A. Necir} et al., J. Probab. Stat. 2010, Article ID 596839, 17 p. (2010; Zbl 1200.91142) Full Text: DOI EuDML OpenURL
Grundke, Peter Top-down approaches for integrated risk management: how accurate are they? (English) Zbl 1177.91081 Eur. J. Oper. Res. 203, No. 3, 662-672 (2010). MSC: 91B30 91B82 PDF BibTeX XML Cite \textit{P. Grundke}, Eur. J. Oper. Res. 203, No. 3, 662--672 (2010; Zbl 1177.91081) Full Text: DOI OpenURL
Kortanek, Ken Discussion on: “Cash flow matching: a risk management approach”. (English) Zbl 1483.91261 N. Am. Actuar. J. 13, No. 3, 378-384 (2009). MSC: 91G70 91G30 93E20 PDF BibTeX XML Cite \textit{K. Kortanek}, N. Am. Actuar. J. 13, No. 3, 378--384 (2009; Zbl 1483.91261) Full Text: DOI OpenURL
Brazauskas, Vytaras; Jones, Bruce L.; Puri, Madan L.; Zitikis, Ričardas Estimating conditional tail expectation with actuarial applications in view. (English) Zbl 1152.62027 J. Stat. Plann. Inference 138, No. 11, 3590-3604 (2008). MSC: 62G32 62G20 62P05 62F12 62F25 62G15 PDF BibTeX XML Cite \textit{V. Brazauskas} et al., J. Stat. Plann. Inference 138, No. 11, 3590--3604 (2008; Zbl 1152.62027) Full Text: DOI OpenURL
Kaiser, Thomas; Brazauskas, Vytaras Interval estimation of actuarial risk measures. (English) Zbl 1480.91214 N. Am. Actuar. J. 10, No. 4, 249-268 (2006). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{T. Kaiser} and \textit{V. Brazauskas}, N. Am. Actuar. J. 10, No. 4, 249--268 (2006; Zbl 1480.91214) Full Text: DOI OpenURL