Estimation of Risk Contributions with MCMC
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Cited by:
- Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo, 2022.
"Avoiding zero probability events when computing Value at Risk contributions,"
Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 173-192.
- Takaaki Koike & Yuri F. Saporito & Rodrigo S. Targino, 2020. "Avoiding zero probability events when computing Value at Risk contributions," Papers 2004.13235, arXiv.org, revised Jun 2022.
- Takaaki Koike & Marius Hofert, 2020. "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers 2005.02950, arXiv.org, revised Nov 2020.
- Koike, Takaaki & Hofert, Marius, 2021. "Modality for scenario analysis and maximum likelihood allocation," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 24-43.
- Denuit, Michel & Robert, Christian Y., 2021. "Stop-loss protection for a large P2P insurance pool," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 210-233.
- Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
- Denuit, Michel & Robert, Christian Y., 2021. "Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, vol. 8(1), pages 1-33, January.
- Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing, 2024. "Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 132-150.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2017-02-19 (Econometrics)
- NEP-RMG-2017-02-19 (Risk Management)
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