Recursive formulas for aggregate claim distributions
Regularly Varying Functions
Return Distribution and Value at Risk Estimation for Belex15
Robust estimation in capital asset pricing model.
Robustness regions for measures of risk aggregation
One of risk measures’ key purposes is to consistently rank and distinguish between different risk profiles. From a practical perspective, a risk measure should also be robust, that is, insensitive to small perturbations in input assumptions. It is known in the literature [14, 39], that strong assumptions on the risk measure’s ability to distinguish between risks may lead to a lack of robustness. We address the trade-off between robustness and consistent risk ranking by specifying the regions in...