That the returns on financial assets and insurance claims are not well described by the
multivariate normal distribution is generally acknowledged in the literature. This paper …

During 2008 and 2009, the insurance industry experienced unprecedented volatility. The
large swings in insurers' market valuations, and the significant role that financial reporting …

A comprehensive account of economic size distributions around the world and throughout
the years In the course of the past 100 years, economists and applied statisticians have …

Dieses Buch ist ein handlicher und praktischer Leitfaden zur Monte Carlo Simulation (MCS).
Er gibt eine Einführung in Standardmethoden und fortgeschrittene Verfahren, um die …

This paper proposes a conditional technique for the estimation of VaR and expected
shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of …

Automobile insurance is an example of a market where multi‐period contracts are observed.
This form of contract can be justified by asymmetrical information between the insurer and …

This paper investigates the role of high-order moments in the estimation of conditional value
at risk (VaR). We use the skewed generalized t distribution (SGT) with time-varying …

Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro
risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing …

According to Basel II criteria, the use of external data is indispensable to the implementation
of an advanced method for calculating operational risk capital. This article investigates how …

In this paper, we consider “heavy-tailed” data, that is, data where extreme values are likely to
occur. Heavy-tailed data have been analyzed using flexible distributions such as the …