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A Nonparametric Test for Comparing the Riskiness of Portfolios
Comparing the Riskiness of Portfolios This paper discusses a natural and convenient statistic, the nested ... considers an example involving the comparison of risk measure values where the risks of interest are those associated ...- Authors: Vytaras Brazauskas
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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A Risk Model when Premium Rate Depends on Claim Size
A Risk Model when Premium Rate Depends on Claim Size This paper considers a dependent classical risk ... in which the premium rate is determined by the amount of the previous claim. From the Actuarial ...- Authors: Jun Cai, Ming Zhou
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods