27 results
How do empirical estimators of popular risk measures impact pro-cyclicality?
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- Annals of Actuarial Science / Volume 17 / Issue 3 / November 2023
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- 29 March 2023, pp. 547-579
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A value-at-risk approach to futures hedge
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- Probability in the Engineering and Informational Sciences / Volume 37 / Issue 3 / July 2023
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- 23 June 2022, pp. 818-832
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Risk-Efficient Coverage Selection Strategies for the Pasture, Rangeland, Forage (PRF) Insurance Program
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- Journal of Agricultural and Applied Economics / Volume 54 / Issue 2 / May 2022
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- 28 March 2022, pp. 286-305
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Longevity trend risk over limited time horizons
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- Annals of Actuarial Science / Volume 14 / Issue 2 / September 2020
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- 21 May 2020, pp. 262-277
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Asymmetry in mortality volatility and its implications on index-based longevity hedging
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- Annals of Actuarial Science / Volume 14 / Issue 2 / September 2020
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- 05 May 2020, pp. 278-301
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A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT
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- ASTIN Bulletin: The Journal of the IAA / Volume 49 / Issue 1 / January 2019
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- 23 November 2018, pp. 217-242
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- January 2019
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MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
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- ASTIN Bulletin: The Journal of the IAA / Volume 48 / Issue 2 / May 2018
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- 09 March 2018, pp. 871-904
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- May 2018
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Real-time Bayesian non-parametric prediction of solvency risk
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- Annals of Actuarial Science / Volume 13 / Issue 1 / March 2019
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- 07 February 2018, pp. 67-79
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Some notes on approaches to regulatory capital assessment for insurance firms
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- British Actuarial Journal / Volume 23 / 2018
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- 25 January 2018, e6
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Conditional Monte Carlo for sums, with applications to insurance and finance
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- Annals of Actuarial Science / Volume 12 / Issue 2 / September 2018
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- 14 January 2018, pp. 455-478
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COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY
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- ASTIN Bulletin: The Journal of the IAA / Volume 47 / Issue 2 / May 2017
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- 03 April 2017, pp. 361-389
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- May 2017
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A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
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- ASTIN Bulletin: The Journal of the IAA / Volume 47 / Issue 2 / May 2017
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- 18 January 2017, pp. 467-499
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- May 2017
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PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
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- ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 2 / May 2016
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- 08 April 2016, pp. 507-530
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- May 2016
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OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
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- ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 3 / September 2016
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- 14 December 2015, pp. 815-849
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- September 2016
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MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE
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- ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 1 / January 2016
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- 11 November 2015, pp. 165-190
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- January 2016
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A Value-at-Risk framework for longevity trend risk
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- British Actuarial Journal / Volume 19 / Issue 1 / March 2014
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- 25 January 2013, pp. 116-139
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Diversification in heavy-tailed portfolios: properties and pitfalls
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- Annals of Actuarial Science / Volume 7 / Issue 1 / March 2013
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- 19 November 2012, pp. 26-45
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Average Value-at-Risk Minimizing Reinsurance Under Wang's Premium Principle with Constraints
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- ASTIN Bulletin: The Journal of the IAA / Volume 42 / Issue 2 / November 2012
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- 09 August 2013, pp. 575-600
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- November 2012
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On the Calculation of the Solvency Capital Requirement Based on Nested Simulations*
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- ASTIN Bulletin: The Journal of the IAA / Volume 42 / Issue 2 / November 2012
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- 09 August 2013, pp. 453-499
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- November 2012
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Risk Management in a Fair Valuation World
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- British Actuarial Journal / Volume 11 / Issue 4 / 01 October 2005
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- 10 June 2011, pp. 595-712
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