Quantile Mixing and Model Uncertainty Measures
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- Vincent, Léonard & Albrecher, Hansjörg & Krvavych, Yuriy, 2021. "Structured reinsurance deals with reference to relative market performance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 125-139.
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More about this item
Keywords
Model combination; Model uncertainty; Quantiles; Risk management; Catastrophe models;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IAS-2020-02-10 (Insurance Economics)
- NEP-RMG-2020-02-10 (Risk Management)
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