Report NEP-RMG-2024-06-10

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Bingzhen Geng & Yang Liu & Yimiao Zhao, 2024. "Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification," Papers 2404.18029, arXiv.org.
• Kolos Csaba 'Agoston & Veronika Varga, 2024. "Bertrand oligopoly in insurance markets with Value at Risk Constraints," Papers 2404.17915, arXiv.org.
• Mengshuo Zhao & Narayanaswamy Balakrishnan & Chuancun Yin, 2024. "Extremal cases of distortion risk measures with partial information," Papers 2404.13637, arXiv.org, revised Oct 2024.
• Shuochen Bi & Wenqing Bao, 2024. "Innovative Application of Artificial Intelligence Technology in Bank Credit Risk Management," Papers 2404.18183, arXiv.org.
• Emmanuelle Augeraud-Véron & Marc Leandri, 2024. "Optimal self-protection and health risk perceptions: Exploring connections between risk theory and the Health Belief Model," Post-Print hal-04557076, HAL.
• Xu Cheng & Eric Renault & Paul Sangrey, 2024. "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive 24-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Daniel Bartl & Stephan Eckstein, 2024. "Optimal nonparametric estimation of the expected shortfall risk," Papers 2405.00357, arXiv.org.