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Main Author:	Tian, Xin
Format:	Preprint
Published:	2025
Subjects:	Risk Management Econometrics Computational Finance Applications 91G70, 62P05, 60G10 91G70, 62P05, 60G1091G70, 62P05, 60G10 91G70, 62P05, 60G10
Online Access:	https://arxiv.org/abs/2505.05646
Tags:	Add Tag No Tags, Be the first to tag this record!

Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)

Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)

Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)

On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)

Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)

Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
by: Flores-Silva, Daniela I., et al.
Published: (2025)

Convex combinations of random variables stochastically dominate the parent for a new class of heavy-tailed distributions
by: Arab, Idir, et al.
Published: (2024)

Estimating Changepoints in Extremal Dependence, Applied to Aviation Stock Prices During COVID-19 Pandemic
by: Hazra, Arnab, et al.
Published: (2023)

Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing
by: Aditri
Published: (2026)

Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
by: Leung, Tim, et al.
Published: (2023)

Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
by: Han, Xiyue, et al.
Published: (2023)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
by: Singh, Aryan, et al.
Published: (2025)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity
by: Imamura, Yuri, et al.
Published: (2025)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

Market-based insurance ratemaking: application to pet insurance
by: Goffard, Pierre-Olivier, et al.
Published: (2025)

Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index
by: Oketunji, Abiodun Finbarrs
Published: (2025)

Log Heston Model for Monthly Average VIX
by: Park, Jihyun, et al.
Published: (2024)

Insights into Tail-Based and Order Statistics
by: Almani, Hamidreza Maleki
Published: (2025)

Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
by: Opdyke, JD
Published: (2025)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)

Calibration Bands for Mean Estimates within the Exponential Dispersion Family
by: Delong, Łukasz, et al.
Published: (2025)

Asymptotics of randomly weighted sums without moment conditions of random weights
by: Gao, Qingwu, et al.
Published: (2026)

Time-lagged marginal expected shortfall
by: Liu, Jiajun, et al.
Published: (2025)

Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)

A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)

The Population Resemblance Statistic: A Chi-Square Measure of Fit for Banking
by: Potgieter, Nelis, et al.
Published: (2023)

When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints
by: Avanzi, Benjamin, et al.
Published: (2025)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
by: Lai, Shanyan
Published: (2025)

Stability criteria for rough systems
by: Duc, Luu Hoang, et al.
Published: (2024)

Foundations of a Time-Consistent Counterfactual Actuarial Runtime for Autonomous AI Agents
by: Chen, Hao-Hsuan
Published: (2026)

Utility-Weighted Forecasting and Calibration for Risk-Adjusted Decisions under Trading Frictions
by: Wright, Craig S
Published: (2026)

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