6 citations · 8 across the 7 of their papers we have counts for
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q-fin.RM2020★ 6 cited
Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer
Carlos Andrés Araiza Iturria, Frédéric Godin, Mélina Mailhot
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated ca…
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…