نتائج البحث - "Tail value at risk"

Relation: Pereira, Andreia Simões (2020). "Risk adjustment in a life insurance portfolio". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.

الاتاحة: http://hdl.handle.net/10400.5/20924

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8

Academic Journal

On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk

المؤلفون: Bony Parulian Josaphat, Moch Fandi Ansori, Khreshna Syuhada

المصدر: IEEE Access, Vol 9, Pp 122474-122485 (2021)

مصطلحات موضوعية: Dependent tail value-at-risk, dependent conditional tail variance, FGM copula, metaheuristic algorithms, energy risk, Electrical engineering. Electronics. Nuclear engineering, TK1-9971

وصف الملف: electronic resource

Relation: https://ieeexplore.ieee.org/document/9520355/; https://doaj.org/toc/2169-3536

URL الوصول: https://doaj.org/article/36df5484adcb42159c2e4f2ecb71c898

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9

Academic Journal

Aggregate Risk Model and Risk Measure-Based Risk Allocation

المؤلفون: Khreshna Syuhada

المصدر: InPrime, Vol 2, Iss 1, Pp 13-23 (2020)

مصطلحات موضوعية: allocation methods, tail-value-at-risk, translated gamma approximation, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://journal.uinjkt.ac.id/index.php/inprime/article/view/14494; https://doaj.org/toc/2686-5335; https://doaj.org/toc/2716-2478

URL الوصول: https://doaj.org/article/3530511d54854db0b216b121e1f046ce

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10

Academic Journal

An Empirical Study for Comparison of Estimation Methods for Value at Risk, Tail Value at Risk, and Adjusted Tail Value at Risk Using Extreme Value Theory Approach to Stock Market Index

المؤلفون: Bakhtiar, Sri Muslihah, Amran, Amran, Khaeruddin, Khaeruddin

المصدر: Daya Matematis: Jurnal Inovasi Pendidikan Matematika; Vol 10, No 2 (2022): Juli; 128-137 ; 2541-4232 ; 2354-7146 ; 10.26858/jdm.v10i2

مصطلحات موضوعية: Risk, Value at Risk, Tail Value at Risk, Adjusted TVaR, Extreme Value Theory, Peak Over Threshold

وصف الملف: application/pdf

Relation: https://ojs.unm.ac.id/JDM/article/view/35702/16838; https://ojs.unm.ac.id/JDM/article/view/35702

الاتاحة: https://ojs.unm.ac.id/JDM/article/view/35702
https://doi.org/10.26858/jdm.v10i2.35702

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11

Risk bounds for unimodal distributions under partial information

المؤلفون: Kazzi, Rodrigue

المساهمون: Bernard, Carole, Centeno, Maria de Lourdes, Vandeffel, Steven, Repositório da Universidade de Lisboa

مصطلحات موضوعية: Risco do modelo, Value-at-Risk, Tail-Value-at-Risk, Range-Value-at-Risk, Ordenação convexa, Distribuições Unimodais, Limites de Risco, Model risk, Convex ordering, Unimodal distributions, Risk bounds

وصف الملف: application/pdf

Relation: Kazzi, Rodrigue (2018). "Risk bounds for unimodal distributions under partial information". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.

الاتاحة: http://hdl.handle.net/10400.5/15817

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12

Report

Illustrative application of direct loss-based seismic design for reinforced concrete buildings

المؤلفون: Gentile, R, Calvi, GM

المصدر: In: Proceedings of the he 3rd European Earthquake Engineering & Seismology (3ECEES). (pp. pp. 1-7). 3ECEES (2022)

مصطلحات موضوعية: risk-targeted design approach, earthquake economic losses, direct/indirect losses, expected annual loss, tail value at risk

وصف الملف: text

Relation: https://discovery.ucl.ac.uk/id/eprint/10180479/1/2022%203ECEES%20DLBD.pdf; https://discovery.ucl.ac.uk/id/eprint/10180479/

الاتاحة: https://discovery.ucl.ac.uk/id/eprint/10180479/1/2022%203ECEES%20DLBD.pdf
https://discovery.ucl.ac.uk/id/eprint/10180479/

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13

Book

An algorithm to fit conditional tail expectation regression models for vehicle excess speed in driving data

المؤلفون: Pitarque, Albert, Guillen, Montserrat

مصطلحات موضوعية: Web data, Internet data, Big data, Qca, Pls, Sem, Conference, Telematics, Quantile regression, Insurance, Tail value-at-risk, Traffic safety

Relation: CARMA 2020 - 3rd International Conference on Advanced Research Methods and Analytics; Julio 08-09,2020; Valencia, Spain; http://ocs.editorial.upv.es/index.php/CARMA/CARMA2020/paper/view/11512; urn:isbn:9788490488324; http://hdl.handle.net/10251/148773

الاتاحة: http://hdl.handle.net/10251/148773
https://doi.org/10.4995/CARMA2020.2020.11512

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14

Academic Journal

Tail Conditional Expectations Based on Kumaraswamy Dispersion Models

المؤلفون: Ghosh, I., Marques, Filipe J.

المساهمون: DM - Departamento de Matemática, CMA - Centro de Matemática e Aplicações

مصطلحات موضوعية: Asymmetric losses, Bivariate Kumaraswamy distribution, Bivariate Kumaraswamy type copulas, Bounded risk, Copula-based tail conditional expectation, Tail conditional expectations, Tail value-at-risk

Relation: info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00297%2F2020/PT; Ghosh, I., & Marques, F. J. (2021). Tail Conditional Expectations Based on Kumaraswamy Dispersion Models. Mathematics, 9(13). https://doi.org/10.3390/math9131478; PURE: 62899051; PURE UUID: 8cefbebd-9629-4fef-8c54-c9969fed11b4; WOS: 000671045900001; http://hdl.handle.net/10362/153671; https://doi.org/10.3390/math9131478

الاتاحة: http://hdl.handle.net/10362/153671
https://doi.org/10.3390/math9131478

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15

Academic Journal

On Partial Stochastic Comparisons Based on Tail Values at Risk

المؤلفون: Bello Espina, Alfonso José, Mulero, Julio, Sordo Díaz, Miguel Ángel, Suárez Llorens, Alfonso

المساهمون: Estadística e Investigación Operativa

المصدر: Mathematics 2020, 8(7), 1181

مصطلحات موضوعية: value at risk, tail value at risk, stochastic orders, financial risk

وصف الملف: application/pdf

Relation: http://hdl.handle.net/10498/23646

الاتاحة: http://hdl.handle.net/10498/23646
https://doi.org/10.3390/math8071181

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16

Report

Risk aggregation and capital allocation using a new generalized Archimedean copula

المؤلفون: Marri, Fouad, Moutanabbir, Khouzeima

المساهمون: Institut National de Statistique et d’Economie Appliquée Rabat (INSEA), University of Johannesburg (UJ)

المصدر: https://hal.archives-ouvertes.fr/hal-03169291 ; 2021.

مصطلحات موضوعية: Bernstein copulas, Capital allocation, Copulas, Dependence, Tail value at risk, Value-at-Risk, [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]

Relation: hal-03169291; https://hal.archives-ouvertes.fr/hal-03169291; https://hal.archives-ouvertes.fr/hal-03169291/document; https://hal.archives-ouvertes.fr/hal-03169291/file/MarriKhouzeima.pdf

الاتاحة: https://hal.archives-ouvertes.fr/hal-03169291
https://hal.archives-ouvertes.fr/hal-03169291/document
https://hal.archives-ouvertes.fr/hal-03169291/file/MarriKhouzeima.pdf

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17

Academic Journal

On a new Pareto-type distribution with applications in the study of income inequality and risk analysis

المؤلفون: Sarabia Alegría, José María, Jordá, Vanesa, Prieto Mendoza, Faustino

المساهمون: Universidad de Cantabria

المصدر: Physica A 527 (2019)

مصطلحات موضوعية: Incomplete beta function, Lorenz curve, Gini index, Donaldson–Weymark–Kakwani index, Pietra index, Generalized entropy measures, Value at risk, Tail value at risk

Relation: ECO2016-476203-C2-1-P; http://hdl.handle.net/10902/16241

الاتاحة: http://hdl.handle.net/10902/16241
https://doi.org/10.1016/j.physa.2019.121277

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18

Academic Journal

Quantile regression as a starting point in predictive risk models ; Regresión cuantílica como punto de partida en los modelos predictivos para el riesgo

المؤلفون: Pitarque, Albert, Pérez-Marín, Ana María, Guillen, Montserrat

المصدر: Anales del Instituto de Actuarios Españoles; No. 25 (2019); 101-117 ; Anales del Instituto de Actuarios Españoles; Núm. 25 (2019); 101-117 ; 2531-2308 ; 0534-3232

مصطلحات موضوعية: modelización predictiva, valor en riesgo, valor en riesgo de la cola, optimización, remuestreo, predictive modelling, value-at-risk, tail value at-risk, optimization, resampling