User menu

Measuring Portfolio Risk Under Partial Dependence Information

  1. Albrecher, Insurance: Mathematics and Economics, 48, 265 (2011)
  2. Artzner Philippe, Delbaen Freddy, Eber Jean-Marc, Heath David, Coherent Measures of Risk, 10.1111/1467-9965.00068
  3. Basel Committee on Banking Supervision 2010 Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems
  4. Basel Committee on Banking Supervision 2013 The Regulatory Framework: Balancing Risk Sensitivity, Simplicity and Comparability
  5. Barrieu Pauline, Scandolo Giacomo, Assessing financial model risk, 10.1016/j.ejor.2014.10.032
  6. Bernard, Insurance: Mathematics and Economics, 54, 93 (2014)
  7. Bernard, Journal of Risk and Insurance (2016)
  8. Bernard Carole, Rüschendorf Ludger, Vanduffel Steven, Yao Jing, How robust is the value-at-risk of credit risk portfolios?, 10.1080/1351847x.2015.1104370
  9. Bernard, Journal of Risk and Insurance (2016)
  10. Bernard Carole, Vanduffel Steven, A new approach to assessing model risk in high dimensions, 10.1016/j.jbankfin.2015.03.007
  11. Bignozzi Valeria, Tsanakas Andreas, Parameter Uncertainty and Residual Estimation Risk : Parameter Uncertainty and Residual Estimation Risk, 10.1111/jori.12075
  12. Braun Alexander, Schmeiser Hato, Schreiber Florian, Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula : Portfolio Optimization Under Solvency II, 10.1111/jori.12077
  13. Chernih Andrew, Henrard Luc, Vanduffel Steven, Reconciling credit correlations, 10.21314/jrmv.2010.056
  14. Cheung Ka Chun, Vanduffel Steven, Bounds for sums of random variables when the marginal distributions and the variance of the sum are given, 10.1080/03461238.2011.558186
  15. Committee of Insurance and Occupational Pension Supervisors 2008
  16. Committee of Insurance and Occupational Pension Supervisors 2010
  17. Cuberos A., Masiello E., Maume-Deschamps V., High level quantile approximations of sums of risks, 10.1515/demo-2015-0010
  18. Denuit Michel, The Exponential Premium Calculation Principle Revisited , 10.2143/ast.29.2.504612
  19. Denuit, Insurance: Mathematics and Economics, 24, 201 (1999)
  20. Denuit, Insurance: Mathematics and Economics, 25, 85 (1999)
  21. Denuit, Insurance: Mathematics and Economics, 62, 162 (2015)
  22. Denuit, Insurance: Mathematics and Economics, 20, 197 (1997)
  23. Denuit Michel, Lefevre Claude, Shaked Moshe, The s-convex orders among real random variables, with applications, 10.7153/mia-01-56
  24. Denuit, Advances in Applied Probability, 32, 994 (2000)
  25. De Schepper Ann, Heijnen Bart, How to estimate the Value at Risk under incomplete information, 10.1016/
  26. De Vylder, Insurance: Mathematics and Economics, 1, 109 (1982)
  27. De Vylder , F. E. 1996 Advanced Risk Theory: A Self-Contained Introduction
  28. Official Journal of the European Union
  29. Dubey Satya D., Compound gamma, beta and F distributions, 10.1007/bf02613934
  30. Ekern Steinar, Increasing Nth degree risk, 10.1016/0165-1765(80)90005-1
  31. Embrechts Paul, Puccetti Giovanni, Rüschendorf Ludger, Model uncertainty and VaR aggregation, 10.1016/j.jbankfin.2013.03.014
  32. Embrechts Paul, Wang Bin, Wang Ruodu, Aggregation-robustness and model uncertainty of regulatory risk measures, 10.1007/s00780-015-0273-z
  33. Groendahl , B. 2013 Bloomberg
  34. Hummel , R. S. Banga T. P. Hettmansperger 2005 Better Confidence Intervals for the Variance in a Random Sample
  35. Hürlimann Werner, Analytical Bounds for two Value-at-Risk Functionals, 10.2143/ast.32.2.1028
  36. H�rlimann Werner, Improved Analytical Bounds for Gambler?s Ruin Probabilities, 10.1007/s11009-005-6656-4
  37. Hürlimann, Boletin de la Associacion Matematica Venezolana, 15, 153 (2008)
  38. Kaas, Insurance: Mathematics and Economics, 5, 87 (1986)
  39. Karlin , S. 1968 Total Positivity
  40. Laas Daniela, Siegel Caroline Franziska, Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards : Basel III Versus Solvency II, 10.1111/jori.12154
  41. McNeil , A. J. R. Frey P. Embrechts 2005 Quantitative Risk Management: Concepts, Techniques, Tools
  42. Wang Ruodu, Peng Liang, Yang Jingping, Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities, 10.1007/s00780-012-0200-5
  43. Puccetti Giovanni, Rüschendorf Ludger, Computation of sharp bounds on the distribution of a function of dependent risks, 10.1016/
  44. Puccetti Giovanni, Rüschendorf Ludger, Small Daniel, Vanduffel Steven, Reduction of Value-at-Risk bounds via independence and variance information, 10.1080/03461238.2015.1119717
  45. Rüschendorf Ludger, Random variables with maximum sums, 10.2307/1426677
  46. Standard & Poor's 2001
  47. Wang Bin, Wang Ruodu, The complete mixability and convex minimization problems with monotone marginal densities, 10.1016/j.jmva.2011.05.002
Bibliographic reference Bernard, Carole ; Denuit, Michel ; Vanduffel, Steven. Measuring Portfolio Risk Under Partial Dependence Information. In: Journal of Risk and Insurance, Vol. 85, no. 3, p. 843-863 (2018)
Permanent URL