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After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures

Citations

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Cited by:

  1. David Blake & John Cotter & Kevin Dowd, 2006. "Financial risks and the Pension Protection Fund : can it survive them?," Centre for Financial Markets Working Papers 10197/1185, Research Repository, University College Dublin.
  2. Matyska, Branka, 2021. "Salience, systemic risk and spectral risk measures as capital requirements," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  3. Stupfler, Gilles & Yang, Fan, 2018. "Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 375-411, January.
  4. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
  5. Yucel, Eray, 2011. "A Review and Bibliography of Early Warning Models," MPRA Paper 32893, University Library of Munich, Germany.
  6. Mitra, Sovan, 2013. "Operational risk of option hedging," Economic Modelling, Elsevier, vol. 33(C), pages 194-203.
  7. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
  8. Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
  9. Majid Asadi & Jeffrey S. Racine & Ehsan S. Soof & Shaomin Wu, 2025. "Financial Risk Under Shortfall Level Uncertainty," Department of Economics Working Papers 2025-04, McMaster University.
  10. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.
  11. El Methni, Jonathan & Stupfler, Gilles, 2018. "Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 6(C), pages 129-148.
  12. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
  13. Markus Huggenberger & Peter Albrecht, 2022. "Risk pooling and solvency regulation: A policyholder's perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 907-950, December.
  14. Li, Yunxian & Tang, Niansheng & Jiang, Xuejun, 2016. "Bayesian approaches for analyzing earthquake catastrophic risk," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 110-119.
  15. Gatfaoui, Hayette, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, vol. 80(C), pages 132-152.
  16. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
  17. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
  18. Jasman Tuyon & Zamri Ahmad, 2021. "Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5793-5814, October.
  19. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  20. Massimiliano Amarante, 2016. "A representation of risk measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 95-103, April.
  21. Cameron A. MacKenzie, 2014. "Summarizing Risk Using Risk Measures and Risk Indices," Risk Analysis, John Wiley & Sons, vol. 34(12), pages 2143-2162, December.
  22. Zhongren Chen & Siyu Chen & Zhengling Qi & Xiaohong Chen & Zhuoran Yang, 2025. "Quantile-Optimal Policy Learning under Unmeasured Confounding," Cowles Foundation Discussion Papers 2469, Cowles Foundation for Research in Economics, Yale University.
  23. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  24. Gyöngyi Bugár & Anita Ratting, 2016. "Revision of the quantification of market risk in the Basel III regulatory framework," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 15(1), pages 33-50.
  25. Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe, 2014. "Reducing risk by merging counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 58-65.
  26. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
  27. Meng-Jou Lu & Matúš Horváth & Xingjia Wang & Wolfgang Karl Härdle, 2025. "Spectral risk for digital assets," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 537-574, February.
  28. Brunner, Gregory & Hinz, Richard & Rocha, Roberto, 2008. "Risk-based supervision of pension funds : a review of international experience and preliminary assessment of the first outcomes," Policy Research Working Paper Series 4491, The World Bank.
  29. Hosseini, S. Davod & Verma, Manish, 2018. "Conditional value-at-risk (CVaR) methodology to optimal train configuration and routing of rail hazmat shipments," Transportation Research Part B: Methodological, Elsevier, vol. 110(C), pages 79-103.
  30. Best, Peter & Stone, Roger & Sosenko, Olena, 2007. "Climate risk management based on climate modes and indices - the potential in Australian agribusinesses," 101st Seminar, July 5-6, 2007, Berlin Germany 9257, European Association of Agricultural Economists.
  31. Chunrong Ai & Zeqi Wu & Zheng Zhang, 2026. "Data-Automated Policy Learning for Nonlinear Welfare," Papers 2606.01659, arXiv.org.
  32. Woodard, Joshua D. & Garcia, Philip, 2008. "Weather Derivatives, Spatial Aggregation, and Systemic Risk: Implications for Reinsurance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 33(01), pages 1-18, April.
  33. Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
  34. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  35. Fernandes, Gláucia & Gomes, Leonardo & Vasconcelos, Gabriel & Brandão, Luiz, 2016. "Mitigating wind exposure with zero-cost collar insurance," Renewable Energy, Elsevier, vol. 99(C), pages 336-346.
  36. Sharif Mozumder & Mohammad Zoynul Abedin & Raad Lalon & Amjad Hossain, 2024. "Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 3049-3086, November.
  37. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
  38. Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
  39. Daniel R. Jiang & Warren B. Powell, 2018. "Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures," Mathematics of Operations Research, INFORMS, vol. 43(2), pages 554-579, May.
  40. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.
  41. Guillermo Benavides, 2021. "Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-18, Septiembr.
  42. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A general class of distortion operators for pricing contingent claims with applications to CAT bonds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 558-584, August.
  43. Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel, 2014. "Quantifying the risk using copulae with nonparametric marginals," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 46-56.
  44. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 395-410, July.
  45. Griselda Deelstra & Michèle Vanmaele & David Vyncke, 2010. "Minimizing the Risk of a Financial Product Using a Put Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 767-800, December.
  46. Joaquin, Domingo Castelo, 2009. "Value at risk: Is a theoretically consistent axiomatic formulation possible?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 725-729, May.
  47. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
  48. Suparna Biswas & Rituparna Sen, 2024. "Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data," Papers 2402.14322, arXiv.org, revised Feb 2025.
  49. Zhongren Chen & Siyu Chen & Zhengling Qi & Xiaohong Chen & Zhuoran Yang, 2025. "Quantile-Optimal Policy Learning under Unmeasured Confounding," Papers 2506.07140, arXiv.org.
  50. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
  51. Annette Hofmann & Nicos A. Scordis, 2018. "Challenges in Applying Risk Management Concepts in Practice: A Perspective," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 21(2), pages 309-333, September.
  52. Basu, Anup K. & Drew, Michael E., 2010. "The appropriateness of default investment options in defined contribution plans: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 18(3), pages 290-305, June.
  53. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
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