This study derives explicit expressions for the Tail Conditional Expectation (TCE) and Tail Variance (TV) within the framework of the extended generalized skew-elliptical (EGSE) distribution. The EGSE family generalizes the class of elliptical distri...
In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this paper, we a...
Recently, there seems to be an increasing amount of interest in the use of the tail conditional expectation (TCE) as a useful measure of risk associated with a production process, for example, in the measurement of risk associated with stock returns...
In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses. After selecting an appropriate loss function, the p...
The class of log-elliptical distributions is well used and studied in risk measurement and actuarial science. The reason is that risks are often skewed and positive when they describe pure risks, i.e., risks in which there is no possibility of profit...
This paper compares higher-order co-moment functionals (co-skewness and co-kurtosis) with conditional tail-risk measures, namely Co-Expected Shortfall (CoES) and Co-Value at Risk (CoVaR), within a unified coherence-based framework. On the theoretical...
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distributio...
Quantile-oriented sensitivity analysis (QOSA) requires repeated evaluation of conditional quantiles over many conditioning states. A four-moment Hermite model yields closed-form quantiles, but its published two-branch form has a local admissibility g...
In real-world scenarios, we encounter non-exchangeable dependence structures. Our primary focus is on identifying and quantifying non-exchangeability in the tails of joint distributions. The findings and methodologies presented in this study are part...
Risk measures are commonly used to prepare for a prospective occurrence of an adverse event. If we are concerned with discrete risk phenomena such as counts of natural disasters, counts of infections by a serious disease, or counts of certain economi...
In this paper, we study an extension of the classical compound Poisson risk model with a dependence structure among the inter-claim time and the subsequent claim size. Under a flexible dependence structure and assuming that the claim amounts are heav...
In this study, we developed calving prediction models for 24-h and 6-h periods before calving using data on physiological (tail skin temperature) and behavioral (activity intensity, lying time, posture change, and tail raising) parameters obtained us...
In this paper, the characteristics and current problems associated with red mud and the progress of research on iron extraction from high-iron red mud are briefly described. By adding conditioning materials to red mud and quenching and tempering, the...
Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded...
We introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE). Beyond the tail mean, STE imposes a rank-dependent penalty on tail variability, ther...
This paper develops a quantitative framework for climate–financial risk measurement that combines a spatially explicit jump–diffusion asset–loss model with prudentially aligned risk metrics. The approach connects regional physical h...
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail...
In the context of the frequent occurrence of extreme events, measuring the tail dependence of financial time series is essential for maintaining the sustainable development of financial markets. In this paper, a multiscale quantile correlation coeffi...
Financial returns have heavy tails and nonzero skewness. Machine learning risk models typically return isolated quantiles or rest on thin-tailed laws. We introduce a skewed, heavy-tailed distribution that is as easy to use as the normal and that conv...
We compare three families of Value-at-Risk and expected shortfall estimators—rolling historical simulation, GARCH(1,1) filtered historical simulation (FHS), and a walk-forward multi-quantile LSTM—on identical, strictly out-of-sample footi...
Actuarial risks can be analyzed using heavy-tailed distributions, which provide adequate risk assessment. Key risk indicators, such as value-at-risk, tailed-value-at-risk (conditional tail expectation), tailed-variance, tailed-mean-variance, and mean...
In this paper, by developing a mathematical model, the temperature of PSCs under different operating conditions has been calculated. It is found that by reducing the density of tail states at the interfaces through some passivation mechanisms, the op...
Historic tailings dams and their associated mine waste can pose a significant risk to human and environmental health. The Wheal Maid mine site, Cornwall, UK, serves as an example of the temporal evolution of a tailings storage facility after mining h...
In this work, a tail rotor is modelled with the aid of a multibody software to provide an alternative tool in the field of helicopter research. This advanced application captures the complex behaviour of tail rotor dynamics. The model has been built...
The Fundamental Review of the Trading Book is a market risk measurement and management regulation recently issued by the Basel Committee. This reform, often referred to as “Basel IV”, intends to strengthen the financial system. The newest capital sta...
The tailings that remain after the collection and screening of Mn nodules are directly discharged into the ocean and are anticipated to influence the ocean environment and marine organisms. The primary factors determining the influence (diffusion) ra...
This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecast...
In this paper, we establish the convergence rates for the law of large numbers and the law of the logarithm for identically distributed random variables with either negative dependence or independence in the framework of sub-linear expectation. We pr...
We investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence
Accurate tail-risk measurement in carbon markets is challenging because carbon allowance prices are shaped not only by heavy-tailed return dynamics, but also by policy changes that can alter the underlying risk dynamics. Models that ignore such struc...
Rock weirs, typically created by the placement of loose rocks, are eco-friendly hydraulic structures used for raising the upstream water level, which has benefits for irrigation, shipping, and grade control. Although rock weirs are frequently submerg...
Peripheral Neuropathies (PN) are common conditions whose treatment is still lacking in most cases. Animal models are crucial, but experimental procedures should be refined in some cases. We performed a detailed characterization of the ventral caudal...
Early diagnosis of heat load in beef cattle remains a challenge due to the limited understanding of behaviour-based indicators. This preliminary longitudinal study aimed to validate behavioural and physiological responses previously identified as hea...
Carbon pricing is central to China’s low-carbon transition, and its effectiveness is tied to the carbon market’s links with commodities. This paper examines state-dependent return connectedness between China’s national carbon emissi...
This paper introduces a new class of probability distributions, termed the generated log exponentiated polynomial (GLEP) family, designed to enhance flexibility in modeling complex real financial data. The proposed family is constructed through a nov...
This paper examines portfolio optimization and tail-risk analytics for a heterogeneous universe of 30 actively managed investment funds using daily Bloomberg data from 2020 to 2025. The study compares buy-and-hold, mean–variance, conditional va...
The White-tailed eagle, an apex predator, is currently recovering its populations across Europe and has already reached high numbers in many countries. This led to the saturation of eagles in optimal habitats and their encroachment on suboptimal ones...
Raw material price volatility, freight rates, and foreign exchange all pose significant uncertainty for lithium-ion battery manufacturers, jeopardising procurement planning and financial stability. In this paper, we formulate a discrete Conditional V...
The scheduling of crude oil operations in marine refineries is a complex combinatorial problem, exacerbated by stochastic disruptions like vessel delays and port congestion. Traditional deterministic and expected-value approaches fail to mitigate hig...
Given a sequence
This study investigates the properties of risk measure, value at risk (VaR) and conditional VaR (CVaR), using high-frequency Bitcoin data. These data allow us to conduct a high statistical analysis. Our findings reveal a disparity in VaR and CVaR val...
In this paper, we consider compositions of conditional risk measures in order to obtain time-consistent dynamic risk measures and determine the solvency capital of a life insurer selling pension liabilities or a pension fund with a single cash-flow a...
Regulatory risk measurement under Basel III’s Fundamental Review of the Trading Book places Expected Shortfall (ES) at the center of market risk capital, yet the fourth-order Edgeworth expansion, still widely used for Value-at-Risk (VaR) and ES...
This paper examined whether portfolio-objective choice or forecasting complexity was more consequential in heavy-tailed commodity ETF allocation. Using daily Bloomberg data for 30 U.S.-listed commodity ETFs from 12 December 2018 to 16 December 2024,...
Randomized reward mechanisms are often described as repeated trials with a fixed success probability. This constant-hazard reference case is symmetric in the limited finite-state sense that, conditional on non-absorption, the next-draw success probab...
Cryptocurrency holdings in conventional portfolios challenge the empirical adequacy of standard tail-risk estimators. This study identifies a calibration mechanism that brings feature-based machine learning to supervisory-grade value at risk (VaR) co...
This work aims to evaluate the use of a superabsorbent polymer (SAP) to provide improvements in the handling properties of iron ore tailings (IOT). The material studied came from the magnetic separation reprocessing of the material discarded at the G...
In this paper, we let the data speak for itself about the existence of volatility feedback and the often debated risk–return relationship. We do this by modeling the contemporaneous relationship between market excess returns and log-realized va...
On the condition that both futures and options exist in the markets for hedging, this paper examines the optimal hedging strategy under price risk and background risk. Compared with the previous research, which has studied options hedging against bas...
In this article, the slashed Lomax distribution is introduced, which is an asymmetric distribution and can be used for fitting thick-tailed datasets. Various properties are explored, such as the density function, hazard rate function, Renyi entropy,...
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