Heavy-Tailed Distributions in Risk Management
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (30 November 2019) | Viewed by 500
Special Issue Editor
Interests: risk theory; actuarial science; macroeconomics
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
Risk management has recently become the primary issue in the analysis of economic instability, but the role of risk uncertainty has not been completely clarified. Heavy tailed distributions should be used as a mathematical tool that can solve any hot topic in insurance practice and especially in regulatory institutions. Interactions between utility theory and the development of risk measures could produce many fruitful results. Several pleasant properties of the Pareto distribution are rarely verified in real data, and the enlargement of the class of distributions is more actual than ever. The difficulty in risk modelling is concentrated in the combination of the theoretical considerations with a rational assessment of objective reality. The concavity of the utility functions seems to be a crucial characteristic in many computational problems.
This Special Issue aims to compile any paper with significant contribution in the state-of-the-art or in the facilitation of practical implementations in economic environment.
Prof. Dr. Dimitrios KonstantinidesGuest Editor
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Keywords
- Ruin probability
- Utility theory
- Asymptotic analysis
- Dependence modelling
- Optimization problem
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