Introduced in the 1980s, value at risk has been a popular measure of financial risk.
However, value at risk suffers from a number of drawbacks as measure of financial risk. An …

Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte
Carlo methods over the last two decades. Their successful implementation on practical …

We explore the role of weighted distributions in pricing insurance risks. In particular, we
relate the distributions to actuarial and economic premium calculation principles and in this …

A prominent problem in actuarial science is to define, or describe, premium calculation
principles (pcp's) that satisfy certain properties. A frequently used resolution of the problem …

We introduce a novel regression framework which simultaneously models the quantile and
the Expected Shortfall (ES) of a response variable given a set of covariates. This regression …

We address the statistical estimation of composite functionals which may be nonlinear in the
probability measure. Our study is motivated by the need to estimate coherent measures of …

In this paper, we introduce a new risk measure, the so‐called conditional tail moment. It is
defined as the moment of order a≥ 0 of the loss distribution above the upper α‐quantile …

A central problem for regulators and risk managers concerns the risk assessment of an
aggregate portfolio defined as the sum of d individual dependent risks X i. This problem is …

The conditional tail expectation (CTE) is an important actuarial risk measure and a useful
tool in financial risk assessment. Under the classical assumption that the second moment of …

We propose a neural networks method to estimate extreme Expected Shortfall, and even
more generally, extreme conditional tail moments as functions of confidence levels, in heavy …