Flexible Expected Shortfall Estimation Using Parametric & Non-Parametric Methods with Applications in Finance, Insurance & Climatology-Reference-Cited by-同舟云学术

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Flexible Expected Shortfall Estimation Using Parametric & Non-Parametric Methods with Applications in Finance, Insurance & Climatology

Published:2019-07 Issue: Volume: Page:
ISSN:
Container-title:2019 22th International Conference on Information Fusion (FUSION)
language:
Short-container-title:

Author:

Guharay Sabyasachi¹,Chang KC¹,Xu Jie²

Affiliation:

1. US Internal Revenue Service

2. Systems Engineering & Operations Research George Mason University,Fairfax,VA,USA,22030

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/8977236/9011156/09011398.pdf?arnumber=9011398

Reference30 articles.

1. A review of backtesting and backtesting procedures

2. Using Loss Data to Quantify Operational Risk

3. Scaling models for the severity and frequency of external operational loss data

4. Sources of uncertainty in modeling operational risk losses

5. Applying robust methods to operational risk modeling

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1. A Blockchain Based Sustainable Digital Insurance Business Parametric Solution Architecture to Protect Realtime QSR Business Interruption Losses;2023 7th International Conference on Computation System and Information Technology for Sustainable Solutions (CSITSS);2023-11-02

2. A Solution to Blockchain Smart Contract Based Parametric Transport and Logistics Insurance;IEEE Transactions on Services Computing;2023-09

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