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Bounds for Ruin Probabilities and Value at Risk
Ruin Probabilities and Value at Risk Sometimes, rare things happen and the least expected occurs. Indeed ... profound impact on a company or even the whole country. Insurers are also not free from the impact of catastrophic ...- 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 selection ... Markowitz [1952] discusses the tradeoff between the mean and variance of a portfolio. Since then, especially ...- 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