Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach

Innovations in Insurance, Risk- and Asset Management ◽

10.1142/9789813272569_0006 ◽

2018 ◽

Author(s):

Samuel N. Cohen

Keyword(s):

Nonlinear Expectations ◽

Download Full-text

Modelling extreme risks for carbon emission allowances — Evidence from European and Chinese carbon markets

Journal of Cleaner Production ◽

10.1016/j.jclepro.2021.128023 ◽

2021 ◽

pp. 128023

Author(s):

Sheng Fang ◽

Guangxi Cao

Keyword(s):

Carbon Emission ◽

Carbon Markets ◽

Download Full-text

Estimation of the Haezendonck-Goovaerts risk measure for extreme risks

Scandinavian Actuarial Journal ◽

10.1080/03461238.2020.1867233 ◽

2021 ◽

pp. 1-24

Author(s):

Yanchun Zhao ◽

Tiantian Mao ◽

Fan Yang

Keyword(s):

Risk Measure ◽

Download Full-text

Statistics of Extreme Risks

Statistics of Financial Markets ◽

10.1007/978-3-642-16521-4_18 ◽

2010 ◽

pp. 447-488

Author(s):

Jürgen Franke ◽

Wolfgang Karl Härdle ◽

Christian Matthias Hafner

Keyword(s):

Download Full-text

Management of Extreme Risks

Financial Econometrics ◽

10.2307/j.ctv9hvt42.19 ◽

2018 ◽

pp. 427-450

Keyword(s):

Download Full-text

Infinite horizon BSDEs under consistent nonlinear expectations

Bulletin des Sciences Mathématiques ◽

10.1016/j.bulsci.2021.103073 ◽

2021 ◽

pp. 103073

Author(s):

Mingshang Hu ◽

Yifan Sun ◽

Falei Wang

Keyword(s):

Infinite Horizon ◽

Nonlinear Expectations

Download Full-text

Statistics of Extreme Risks

Universitext - Statistics of Financial Markets ◽

10.1007/978-3-662-10026-4_17 ◽

2004 ◽

pp. 311-337

Author(s):

Jürgen Franke ◽

Wolfgang Härdle ◽

Christian M. Hafner

Keyword(s):

Download Full-text

The feasibility and value of adaptive strategies for extreme risks

Risk in Extreme Environments ◽

10.4324/9781315557540-9 ◽

2017 ◽

pp. 92-108

Author(s):

Robert Goble

Keyword(s):

Adaptive Strategies ◽

Download Full-text

A representation for filtration-consistent nonlinear expectations and its application

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2020.1825737 ◽

2020 ◽

pp. 1-18

Author(s):

Shiqiu Zheng ◽

Shoumei Li

Keyword(s):

Nonlinear Expectations

Download Full-text

Risk concentration based on Expectiles for extreme risks under FGM copula

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2015.06.009 ◽

2015 ◽

Vol 64 ◽

pp. 429-439 ◽

Author(s):

Tiantian Mao ◽

Fan Yang

Keyword(s):

Download Full-text

Quantitative analysis of extreme risks in insurance and finance

10.17077/etd.353cz24i ◽

2013 ◽

Author(s):

Zhongyi Yuan

Keyword(s):

Quantitative Analysis ◽

Download Full-text