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A Nonparametric Test for Comparing the Riskiness of Portfolios
A Nonparametric Test for Comparing the Riskiness of Portfolios This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation ...- 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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Quality Control of Risk Measures: Backtesting Risk Models - A Tale of Two Powers
Quality Control of Risk Measures: Backtesting Risk Models - A Tale of Two Powers A presentation at the Actuarial Research Conference in August 2006 in Montreal. This paper discusses the Basel ...- Authors: Application Administrator, Jesus Ruiz-Mata, Ricardo Rivera
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Enterprise Risk Management>Risk measurement - ERM; 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 model with diffusion, in which the premium rate is determined by the amount of the previous ...- 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