1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.RM2024
Deviance Voronoi Residuals for Space-Time Point Process Models: An Application to Earthquake Insurance Risk
Roba Bairakdar, Debbie Dupuis, Melina Mailhot
Insurance risk arising from catastrophes such as earthquakes a component of the Minimum Capital Test for federally regulated property and casualty insurance companies. Analyzing ea…
q-fin.RM2020★ 1 cited
Range Value-at-Risk: Multivariate and Extreme Values
Roba Bairakdar, Lu Cao, Melina Mailhot
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when deal…