[HTML][HTML] Enhancing Value-at-Risk with Credible Expected Risk Models
K Syuhada, R Puspitasari, IKD Arnawa… - International Journal of …, 2024 - mdpi.com
Accurate risk assessment is crucial for predicting potential financial losses. This paper
introduces an innovative approach by employing expected risk models that utilize risk …
introduces an innovative approach by employing expected risk models that utilize risk …
Credibility Theory Under the Least Squared Relative Loss Function
The classical Bühlmann model employs a least squared loss criterion that penalizes pricing
errors equally across all risk classes. In contrast, this paper develops a new credibility theory …
errors equally across all risk classes. In contrast, this paper develops a new credibility theory …