Value at risk for integrated returns and its applications to equity-linked insurance

DOI10.5705/ss.2014.228tzbMath1356.91104OpenAlexW2519016798MaRDI QIDQ2828621

Hwai-Chung Ho, Hung-Yin Chen, Henghsiu Tsai

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2014.228t

zbMATH Keywords

quantilevalue at riskstochastic volatility modelintegrated returns

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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