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Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance

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  • Genest, Christian
  • Gerber, Hans U.
  • Goovaerts, Marc J.
  • Laeven, Roger J.A.

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  • Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009. "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 143-145, April.
    • Handle: RePEc:eee:insuma:v:44:y:2009:i:2:p:143-145
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    References listed on IDEAS

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    1. Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
    2. Barbe, Philippe & Fougères, Anne-Laure & Genest, Christian, 2006. "On the Tail Behavior of Sums of Dependent Risks," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 361-373, November.
    3. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 365-386, June.
    4. Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.
    5. Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de, 2005. "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics 24668, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
    2. Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011. "Multivariate density estimation using dimension reducing information and tail flattening transformations," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
    3. Hobæk Haff, Ingrid & Aas, Kjersti & Frigessi, Arnoldo, 2010. "On the simplified pair-copula construction -- Simply useful or too simplistic?," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1296-1310, May.
    4. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
    5. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.
    6. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
    7. Hobæk Haff, Ingrid & Aas, Kjersti & Frigessi, Arnoldo & Lacal, Virginia, 2016. "Structure learning in Bayesian Networks using regular vines," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 186-208.
    8. Ye, Wuyi & Zhou, Yi & Chen, Pengzhan & Wu, Bin, 2024. "A simulation-based method for estimating systemic risk measures," European Journal of Operational Research, Elsevier, vol. 313(1), pages 312-324.

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