In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel and Trufin.</p
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Distortion risk measures have been popular in financial and insurance applications in recent years d...
AbstractAlthough financial risk measurement is a largely investigated research area, its relationshi...
In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and whi...
This paper studies a risk measure inherited from ruin theory and investigates some of its properties...
This paper studies a risk measure inherited from ruin theory and investigates some of its properties...
For an insurance company, effective risk management requires an appropriate measurement of the risk ...
The work introduces a family of new risk measures, “VaR to the power of t”. The aim of the work is t...
Choosing a proper risk measure is an important regulatory issue, as exemplified in governmental regu...
International audienceThe main scope of this paper is to reconsider the use of the VaR as a measure ...
International audienceThe recent experience from the global financial crisis has raised serious ques...
The recent experience from the global financial crisis has raised serious questions about the accura...
The computation of ruin probabilities constitutes a central topic in risk theory. Even though the st...
The current literature does not reach a consensus on which risk measures should be used in practice....
URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/bandeau-haut/documents-...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Distortion risk measures have been popular in financial and insurance applications in recent years d...
AbstractAlthough financial risk measurement is a largely investigated research area, its relationshi...
In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and whi...
This paper studies a risk measure inherited from ruin theory and investigates some of its properties...
This paper studies a risk measure inherited from ruin theory and investigates some of its properties...
For an insurance company, effective risk management requires an appropriate measurement of the risk ...
The work introduces a family of new risk measures, “VaR to the power of t”. The aim of the work is t...
Choosing a proper risk measure is an important regulatory issue, as exemplified in governmental regu...
International audienceThe main scope of this paper is to reconsider the use of the VaR as a measure ...
International audienceThe recent experience from the global financial crisis has raised serious ques...
The recent experience from the global financial crisis has raised serious questions about the accura...
The computation of ruin probabilities constitutes a central topic in risk theory. Even though the st...
The current literature does not reach a consensus on which risk measures should be used in practice....
URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/bandeau-haut/documents-...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Distortion risk measures have been popular in financial and insurance applications in recent years d...
AbstractAlthough financial risk measurement is a largely investigated research area, its relationshi...
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