no code implementations • 22 Apr 2024 • Tobias Fissler, Fangda Liu, Ruodu Wang, Linxiao Wei
They are induced by law-based risk measures, called their generators, evaluated on the tail distribution.
1 code implementation • 25 Feb 2022 • Tobias Fissler, Christian Lorentzen, Michael Mayer
One of the main tasks of actuaries and data scientists is to build good predictive models for certain phenomena such as the claim size or the number of claims in insurance.
no code implementations • 20 Apr 2021 • Tobias Fissler, Yannick Hoga
Systemic risk measures such as CoVaR, CoES and MES are widely-used in finance, macroeconomics and by regulatory bodies.
