1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.ST2026
Asymptotic Expansion and Bounds for the Bias of Empirical Tail Value-at-Risk
Nadezhda Gribkova, Jianxi Su, Mengqi Wang
Tail Value-at-Risk (TVaR) is a widely adopted risk measure playing a critically important role in both academic research and industry practice in insurance. In data applications, T…
q-fin.RM2016★ 1 cited
Multiple risk factor dependence structures: Distributional properties
Jianxi Su, Edward Furman
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRi…