Cover Image

Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Aditri
Format:	Preprint
Published:	2026
Subjects:	Risk Management 65C05, 62P05, 91G70
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

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

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)

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

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

Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
by: Casto, Gabriele
Published: (2025)

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
by: Avanzi, Benjamin, et al.
Published: (2023)

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

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

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

Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
by: Klinge, Jonathan, et al.
Published: (2026)

On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis
by: Avanzi, Benjamin, et al.
Published: (2023)

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

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

Distributionally Robust Insurance under Bregman-Wasserstein Divergence
by: Jiang, Wenjun, et al.
Published: (2026)

Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)

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

Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)

Risk sharing with Lambda value at risk under heterogeneous beliefs
by: Liu, Peng, et al.
Published: (2024)

Extended Convolution Bounds on the Fréchet Problem: Robust Risk Aggregation and Risk Sharing
by: Liu, Peng, et al.
Published: (2025)

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

Sharpening Shapley Allocation: from Basel 2.5 to FRTB
by: Scaringi, Marco, 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)

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

Robust Bernoulli Mixture Models for Credit Portfolio Risk
by: Ansari, Jonathan, et al.
Published: (2024)

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
by: Crépey, Stéphane, et al.
Published: (2023)

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
by: Crépey, Stéphane, et al.
Published: (2024)

Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
by: Crépey, Stéphane, et al.
Published: (2023)

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

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

Forecasting and Backtesting Gradient Allocations of Expected Shortfall
by: Koike, Takaaki, et al.
Published: (2024)

Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
by: Boumezoued, Alexandre, et al.
Published: (2025)

Minimizing Spectral Risk Measures Applied to Markov Decision Processes
by: Bäuerle, Nicole, et al.
Published: (2020)

On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025)

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

Integrating granular data into a multilayer network: an interbank model of the euro area for systemic risk assessment
by: Aarab, Ilias, et al.
Published: (2026)

Joint calibration to SPX and VIX options with signature-based models
by: Cuchiero, Christa, et al.
Published: (2023)

Causal analysis of extreme risk in a network of industry portfolios
by: Klüppelberg, Claudia, et al.
Published: (2025)

Robust distortion risk measures with linear penalty under distribution uncertainty
by: Du, Yuxin, et al.
Published: (2025)

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