10 nov. 2022Conditional divergence risk measures"Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular...
17 août 2022Quasi-Logconvex Measures of Risk"This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the...
18 févr. 2022Multinomial Backtesting of Distortion Risk Measures"We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for...
27 janv. 2022Multivariate matrix-exponential affine mixtures and their applications in risk theory"... results are applied in a wide range of actuarial problems including multivariate risk measures, aggregate loss, large claims...