top of page
Rechercher
10 nov. 2022
Conditional divergence risk measures
"Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular...
0 commentaire
17 août 2022
Quasi-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...
0 commentaire
18 févr. 2022
Multinomial 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...
0 commentaire
27 janv. 2022
Multivariate 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...
0 commentaire
bottom of page