Some remarks on the effect of risk sharing and diversification for infinite mean risks
Insurance typically benefits risk-averse individuals by pooling finite-mean risks. However, with infinite-mean distributions (e.g.,...
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Rechercher
11 mars
Composite Tukey-type distributions with application to operational risk management
Operational risk modeling requires flexible distributions for non-negative values, particularly those exhibiting heavy-tail behavior....
9 mars 2023
Quantifying Systemic Risk in the Presence of Unlisted Banks
This paper proposes a #credit#portfolio approach for evaluating #systemicrisk and attributing it across #financialinstitutions. The...
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