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Report NEP-RMG-2024-06-10
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Bingzhen Geng & Yang Liu & Yimiao Zhao, 2024, "Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification," Papers, arXiv.org, number 2404.18029, Apr.
- Kolos Csaba 'Agoston & Veronika Varga, 2024, "Bertrand oligopoly in insurance markets with Value at Risk Constraints," Papers, arXiv.org, number 2404.17915, Apr.
- Mengshuo Zhao & Narayanaswamy Balakrishnan & Chuancun Yin & Hui Shao, 2024, "Extremal cases of distortion risk measures with partial information," Papers, arXiv.org, number 2404.13637, Apr, revised Dec 2025.
- Shuochen Bi & Wenqing Bao, 2024, "Innovative Application of Artificial Intelligence Technology in Bank Credit Risk Management," Papers, arXiv.org, number 2404.18183, Apr.
- Emmanuelle Augeraud-Véron & Marc Leandri, 2024, "Optimal self-protection and health risk perceptions: Exploring connections between risk theory and the Health Belief Model," Post-Print, HAL, number hal-04557076, DOI: 10.1002/hec.4826.
- Xu Cheng & Eric Renault & Paul Sangrey, 2024, "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 24-013, Apr.
- Daniel Bartl & Stephan Eckstein, 2024, "Optimal nonparametric estimation of the expected shortfall risk," Papers, arXiv.org, number 2405.00357, May.