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- Publisher Website: 10.1146/annurev-Statistics-022513-115631
- Scopus: eid_2-s2.0-84906851785
- WOS: WOS:000331445900022
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Article: Statistics and quantitative risk management for banking and insurance
| Title | Statistics and quantitative risk management for banking and insurance |
|---|---|
| Authors | |
| Keywords | Dependence modeling Regulatory practice Risk aggregation Risk measures Statistical methods |
| Issue Date | 2014 |
| Citation | Annual Review of Statistics and Its Application, 2014, v. 1, p. 493-514 How to Cite? |
| Abstract | As an emerging field of applied research, quantitative risk management (QRM) poses a lot of challenges for probabilistic and statistical modeling. This review provides a discussion on selected past, current, and possible future areas of research at the intersection of statistics and QRM. Topics treated include the use of risk measures in regulation, including their statistical estimation and aggregation properties. An extensive literature provides the statistically interested reader with an entrance to this exciting field. © 2014 by Annual Reviews. |
| Persistent Identifier | http://hdl.handle.net/10722/325280 |
| ISSN | 2023 Impact Factor: 7.4 2023 SCImago Journal Rankings: 3.045 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Embrechts, Paul | - |
| dc.contributor.author | Hofert, Marius | - |
| dc.date.accessioned | 2023-02-27T07:31:11Z | - |
| dc.date.available | 2023-02-27T07:31:11Z | - |
| dc.date.issued | 2014 | - |
| dc.identifier.citation | Annual Review of Statistics and Its Application, 2014, v. 1, p. 493-514 | - |
| dc.identifier.issn | 2326-8298 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/325280 | - |
| dc.description.abstract | As an emerging field of applied research, quantitative risk management (QRM) poses a lot of challenges for probabilistic and statistical modeling. This review provides a discussion on selected past, current, and possible future areas of research at the intersection of statistics and QRM. Topics treated include the use of risk measures in regulation, including their statistical estimation and aggregation properties. An extensive literature provides the statistically interested reader with an entrance to this exciting field. © 2014 by Annual Reviews. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Annual Review of Statistics and Its Application | - |
| dc.subject | Dependence modeling | - |
| dc.subject | Regulatory practice | - |
| dc.subject | Risk aggregation | - |
| dc.subject | Risk measures | - |
| dc.subject | Statistical methods | - |
| dc.title | Statistics and quantitative risk management for banking and insurance | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1146/annurev-Statistics-022513-115631 | - |
| dc.identifier.scopus | eid_2-s2.0-84906851785 | - |
| dc.identifier.volume | 1 | - |
| dc.identifier.spage | 493 | - |
| dc.identifier.epage | 514 | - |
| dc.identifier.eissn | 2326-831X | - |
| dc.identifier.isi | WOS:000331445900022 | - |