# Tail value at risk

## Papers overview

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2013

2013

- 2013

In this paper we analyse nonparametric methods to estimate risk measures in loss distributions. We study kernel estimation for… (More)

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2011

2011

- Mathematical and Computer Modelling
- 2011

This article provides efficient methods based on the saddlepoint approximation for computing the value at risk and the tail value… (More)

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2010

Highly Cited

2010

- Proceedings of 2010 IEEE International Symposium…
- 2010

This paper proposes a new method for identification of time-varying autoregressive (TVAR) models based on local polynomial… (More)

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2010

2010

- Annals OR
- 2010

We present an algorithm that determines Sequential Tail Value at Risk (STVaR) for path-independent payoffs in a binomial tree… (More)

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2007

Highly Cited

2007

- Annals OR
- 2007

Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other… (More)

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2007

2007

- 2007

In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance… (More)

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2007

2007

- 2007

Regulatory authorities demand insurance companies to control the risks by imposing stringent risk management policies. This… (More)

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2005

2005

- 2005

An acceptability measure is a number that summarizes information on monetary outcomes of a given position in various scenarios… (More)

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2003

Highly Cited

2003

- International Semantic Web Conference
- 2003

Non-expert users have to accomplish non-trivial tasks in application and device-rich computing environments. The increasing… (More)

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2002

Highly Cited

2002

- IEEE Trans. Speech and Audio Processing
- 2002

This paper applies time-varying autoregressive (TVAR) models with stochastically evolving parameters to the problem of speech… (More)

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