1
-
3
of
3
results (0.56 seconds)
Sort By:
-
Bounds for Ruin Probabilities and Value at Risk
follows. First notice that (16) is equivalent to: (17) d = inf y00 + y10µ1 + y01µ2 + y20µ (2) 1 + y02µ ... VALUE AT RISK Although the second constraint of (17) can be handled directly, the first constraint is ...- 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
-
Portfolio Risk Management with CVAR-Like Constraints
Portfolio Risk Management with CVAR-Like ... third moment (or skewness) inequality in (14) as (17) n∑ i=1 cixi ≥ β + δ. Proof. See Appendix. 2In ... PORTFOLIO RISK MANAGEMENT WITH CVAR-LIKE CONSTRAINTS 17 ...- 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
-
An Option-Based Operational Risk Management on Pandemics
An Option-Based Operational Risk Management on Pandemics This paper employs the theory of real option ... acdds /)(22 −−+= ε , where acbad 2/)2( ε+−−= 17 threshold beyond which the epidemic is likely to ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Operational risks