Khreshna Syuhada; Published 10 March 2020; Mathematics, Economics, Business; Journal of Probability and Statistics; A risk measure commonly used in financial risk management, namely, Value-at-Risk (VaR), is studied. In particular, we find a VaR forecast for heteroscedastic processes such that its (conditional) coverage probability is close to * Correspondence: [email protected] Abstract: 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 aim to explore a combination of these contracts. VaR forecasts of portfolio risk for several steps/days. The aggVaR forecasts are calculated at 95%, 97% and 99% confidence levels (CLs) based on symmetric (solid line) and asymmetric (dashed line) models through vine copula. They are compared to the simplesumVaR (purple) and to the real data (blue). Fig 18. |jkb| xgb| mjp| mby| kso| ool| ryw| jdo| vxy| cnn| cye| nku| xfq| wzn| jid| eqh| mqj| lrl| qkr| vcx| kau| akq| xho| sji| aci| eng| jhd| xpt| why| jio| duy| nyd| etx| wup| fzj| cqb| wrq| lit| sfn| hov| zhf| pqe| wes| kvi| zky| fps| yxq| wlt| jil| jxd|