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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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Robust and Efficient Fitting of Severity Models and the Method of Winsorized Moments
Robust and Efficient Fitting of Severity Models and the Method of Winsorized Moments 3/13/2019 12:00:00 ...- Authors: Vytaras Brazauskas
- Date: Mar 2019
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Log-Folded-t Models for Insurance Loss Data
Log-Folded-t Models for Insurance Loss Data This abstract describes a paper that supplements ... probability distributions have been proposed, by adding the log-folded-normal and log-folded-t families. insurance ...- Authors: Vytaras Brazauskas
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM; Health & Disability>Accident insurance
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Robust Regression Credibility Models for Heavy-Tailed Claims
Robust Regression Credibility Models for Heavy-Tailed Claims This is the abstract for the research ... Models for Heavy-Tailed Claims This is the abstract for the research on robust regression credibility ...- Authors: Vytaras Brazauskas, Harald Dornheim
- Date: Jul 2010
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Robust and Efficient Fitting of Claim Severity Distributions
and Efficient Fitting of Claim Severity Distributions This is the abstract for the research on robust and ... and efficient fitting of claim severity distributions. Abstract; 14489 7/30/2010 12:38:00 PM ...- Authors: Bruce Jones, Vytaras Brazauskas, Ricardas Zitikis
- Date: Jul 2010
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Model Uncertainty and Selection in Operational Risk Modeling
Model Uncertainty and Selection in Operational Risk Modeling This abstract describes a paper ... model uncertainty arising from different ways of treating the operational loss data collection threshold ...- Authors: Daoping Yu, Vytaras Brazauskas
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods
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A Virtual Climate Library of Surface Temperature over North
A Virtual Climate Library of Surface Temperature over North This abstract describes a paper that produces ... produces a high-resolution, 100-member simulation of surface atmospheric temperature over North America ...- Authors: Vytaras Brazauskas, Paul Roebber
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods