Expectile Quadrangle and Applications
"#expectile is a #risk measure that, similar to #var (quantile) and CVaR (superquantile), can be employed in #riskmanagement." LIRE
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Rechercher
19 mai 2023
IFRS17 Measurement of Property & Casualty Insurance Contracts
"#ifrs17 introduces the concept of a #riskadjustment that compensates #insurers for the #uncertainty about the amount and timing of the...
2 mai 2023
Geopolitical Risk and Financial Stress
"This paper investigates the relationship between #geopoliticalrisk and #financialstress using a bivariate #var model. The study uses the...
16 mars 2023
Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty
This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure...
15 mars 2023
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting Tail Risks of Monthly Us GDP
This paper proposes a novel mixed-frequency quantile vector autoregression (MF-QVAR) model that uses a #bayesian framework and...
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