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of 3
pro vyhledávání: '"60G70, 62P05"'
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MA
Externí odkaz:
http://arxiv.org/abs/1702.06993
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expect
Externí odkaz:
http://arxiv.org/abs/1410.8671
Publikováno v:
SSRN Electronic Journal.
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MA
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73c3266a90417f4a1bac9cc0662701bb
https://doi.org/10.2139/ssrn.2922085
https://doi.org/10.2139/ssrn.2922085
