A conditional value-at-risk model for insurance products with a guarantee

By Consiglio Andrea   Pecorella Antonio   Zenios Stavros A.  

International Journal of Risk Assessment and Management, Vol. 11, Iss. 1-2, 2008-12 ,pp. : 122-137

Inderscience Publishers

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High volatility, thick tails and extreme value theory in value-at-risk estimation

By Gencay R.   Selcuk F.   Ulugulyagci A.  

Insurance: Mathematics and Economics, Vol. 33, Iss. 2, 2003-10 ,pp. : 337-356

Elsevier

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A model of optimal dynamic asset allocation in a Value-at-Risk framework

By Wang Ching-Ping   Shyu David   Liao Y. Chris   Chen Ming-Chi   Chen Miao-Ling  

International Journal of Risk Assessment and Management, Vol. 4, Iss. 4, 2004-05 ,pp. : 301-309

Inderscience Publishers

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Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm

By Alfaro-Cid Eva  

International Journal of Risk Assessment and Management, Vol. 15, Iss. 5-6, 2011-11 ,pp. : 453-477

Inderscience Publishers

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How Banks’ Value-at-Risk Disclosures Predict their Total and Priced Risk: Effects of Bank Technical Sophistication and Learning over Time: Accounting, Disclosure, and the Cost of Capital

By Liu Chi-chun   Ryan Stephen G.   Tan Hung  

Review of Accounting Studies, Vol. 9, Iss. 2-3, 2004-06 ,pp. : 265-294

Springer Publishing Company

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