Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
We derive consistency, asymptotic normality, and standard error estimation for the tail
conditional allocation, also known as the marginal expected shortfall, under minimal …
conditional allocation, also known as the marginal expected shortfall, under minimal …
A duality between utility transforms and probability distortions
In this paper, we establish a mathematical duality between utility transforms and probability
distortions. These transforms play a central role in decision under risk by forming the …
distortions. These transforms play a central role in decision under risk by forming the …
Factor risk measures
This paper introduces and studies factor risk measures. While risk measures only rely on the
distribution of a loss random variable, in many cases risk needs to be measured relative to …
distribution of a loss random variable, in many cases risk needs to be measured relative to …
An axiomatic approach to default risk and model uncertainty in rating systems
M Nendel, J Streicher - Journal of Mathematical Economics, 2023 - Elsevier
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of
a default risk measure, which generalizes the classical probability of default (PD), and …
a default risk measure, which generalizes the classical probability of default (PD), and …