Keywords: انتظار معقول دم; Conditional tail expectation; Positive quadrant dependence; Copulas; Dependence measure; Risk management; Market models; 62P05; 62H20; 91B26; 91B30;
مقالات ISI انتظار معقول دم (ترجمه نشده)
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Keywords: انتظار معقول دم; C630; C580; C650Variable annuity guaranteed benefit; Risk measures; Value at risk; Conditional tail expectation; Geometric Brownian motion; Comonotonicity
Keywords: انتظار معقول دم; Quantile credibility; Credible risk measures; Influence function; Value at risk; Conditional tail expectation;
Keywords: انتظار معقول دم; primary; 62P05; secondary; 62H20; 60E05; Capital allocation; Coherent/Distortion risk measure; Conditional tail expectation; Extreme value theory; Marginal expected shortfall; Rapid variation; Regular variation;
Risk measures in a quantile regression credibility framework with Fama/French data applications
Keywords: انتظار معقول دم; Quantile credibility; Quantile regression; Regression value at risk; Conditional tail expectation; Quantile tail expectation;
Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
Keywords: انتظار معقول دم; 60E05; 60F10; 62E20Randomly weighted sum; Heavy-tailed distribution; Sarmanov copula; Conditional tail expectation
Extreme value behavior of aggregate dependent risks
Keywords: انتظار معقول دم; G22; 62E20; 62H20; 62P05; Archimedean copula; Conditional tail expectation; Extreme value distribution; Maximum domain of attraction; Regular variation; The supermodular order; Value-at-Risk;
Analytical calculation of risk measures for variable annuity guaranteed benefits
Keywords: انتظار معقول دم; Variable annuity guaranteed benefit; Asian option; Risk measures; Value at risk; Conditional tail expectation; Geometric Brownian motion; Integral of geometric Brownian motion; Hartman-Watson density; Modified Bessel functions;
Are quantile risk measures suitable for risk-transfer decisions?
Keywords: انتظار معقول دم; C00, C61; Subject categories: IM51, IM52; Insurance branch category: IB90; Coherent risk measures; Conditional tail expectation; Risk; Risk measures; Optimal reinsurance; Quantile risk measures; Truncated stop loss; Value at Risk;
Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums
Keywords: انتظار معقول دم; C02; C44; C51; D81; Insurance premium; Weighted premium; Weighted distribution; Log-supermodularity; Supermodularity; Submodularity; Likelihood ratio order; Total positivity of order 2; Esscher premium; Conditional tail expectation; Kamps premium; Wang pr
Second order regular variation and conditional tail expectation of multiple risks
Keywords: انتظار معقول دم; Second order approximation; Value at risk; Conditional tail expectation; Asymptotic analysis; Sub-extremal multiple risk;
Asymptotics for risk capital allocations based on Conditional Tail Expectation
Keywords: انتظار معقول دم; primary; 91B30; secondary; 91G10; 62H20; 60E05; Asymptotic dependence and independence; Capital allocation; Conditional Tail Expectation; Extreme Value Theory; Heavy-tailed distributions; Value-at-Risk;
Bounds for the bias of the empirical CTE
Keywords: انتظار معقول دم; C00; Conditional tail expectation; Tail VaR; TVaR; Empirical CTE;
Bias correction for estimated distortion risk measure using the bootstrap
Keywords: انتظار معقول دم; Exact bootstrap; Bias correction; Distortion risk measure; Majorization; Conditional tail expectation;
Asymptotics of random contractions
Keywords: انتظار معقول دم; primary; 60F05; secondary; 60G70; Random contractions; Random scaling; Conditional tail expectation; Elliptical distributions; Spherical distributions; Subexponential distributions; Max-domain of attraction; Risk aggregation; Ruin probability;
Weighted premium calculation principles
Keywords: انتظار معقول دم; IM10; IM30; IE43; G32; Weighted transform; Weighted distribution; Weighted premium calculation principle; Loaded premium; Distorted premium; Esscher's premium; Kamps's premium; Conditional tail expectation; Tail variance premium; Stochastic ordering;
Skewed bivariate models and nonparametric estimation for the CTE risk measure
Keywords: انتظار معقول دم; Conditional tail expectation; Bivariate distributions; Kernel estimation;
Risk measures, distortion parameters, and their empirical estimation
Keywords: انتظار معقول دم; Premium principle; Risk measure; Distortion parameter; Consistency; Asymptotic distribution; Confidence interval; Proportional hazards transform; Wang transform; Conditional tail expectation; Vervaat process;