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Bounds for Ruin Probabilities and Value at Risk
problem. For the stop-loss bound problem, Cox (1991)’s method is also investigated to confirm our SOS program ... amounting $40.2 billion (Yu and Lin, 2007). As for mortality risks, a recent example of unanticipated catastrophe ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Portfolio Risk Management with CVAR-Like Constraints
Portfolio Risk Management with CVAR-Like Constraints In his original monograph on portfolio ... issue, this paper extends Krokhmal et al. [2002]’s approach by adding CVaR-like constraints to the traditional ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Portfolio management - ERM