Results 11 to 20 of about 573 (73)
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Dependence Modeling, 2018 Previous research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the curse ...
Jin Xisong, Lehnert Thorsten
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InPrime, 2023 In this research, we delve into the realm of pension plan programs, essential for securing a robust livelihood post-retirement through the provision of pension benefits to retired employees.
Ardella Maharani +2 more
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On the economic risk capital of portfolio insurance
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 41, Page 2209-2218, 2004., 2004 A formula for the conditional value‐at‐risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
Werner Hürlimann
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Multivariate Fréchet copulas and conditional value‐at‐risk
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 7, Page 345-364, 2004., 2004 Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
Werner Hürlimann
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The Pólya‐Aeppli process and ruin problems
International Journal of Stochastic Analysis, Volume 2004, Issue 3, Page 221-234, 2004., 2004 The Pólya‐Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Pólya‐Aeppli process. It is called a Pólya‐Aeppli risk model. The problem of finding the ruin probability and the Cramér‐Lundberg approximation is studied.
Leda D. Minkova
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Conditional value‐at‐risk bounds for compound Poisson risks and a normal approximation
Journal of Applied Mathematics, Volume 2003, Issue 3, Page 141-153, 2003., 2003 A considerable number of equivalent formulas defining conditional value‐at‐risk and expected shortfall are gathered together. Then we present a simple method to bound the conditional value‐at‐risk of compound Poisson loss distributions under incomplete information about its severity distribution, which is assumed to have a known finite range, mean, and
Werner Hürlimann
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Fractional virus epidemic model on financial networks
Open Mathematics, 2016 In this study, we present an epidemic model that characterizes the behavior of a financial network of globally operating stock markets. Since the long time series have a global memory effect, we represent our model by using the fractional calculus.
Balci Mehmet Ali
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Time series modelling of the Kobe‐Osaka earthquake recordings
International Journal of Mathematics and Mathematical Sciences, Volume 29, Issue 8, Page 467-479, 2002., 2002 A problem of great interest in monitoring a nuclear test ban treaty (NTBT) is related to interpreting properly the differences between a waveform generated by a nuclear explosion and that generated by an earthquake. With a view of comparing these two types of waveforms, Singh (1992) developed a technique for identifying a model in time domain ...
N. Singh +2 more
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A two-component copula with links to insurance
Dependence Modeling, 2017 This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors.
Ismail S., Yu G., Reinert G., Maynard T.
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Multivariate extensions of expectiles risk measures
Dependence Modeling, 2017 This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures.
Maume-Deschamps Véronique +2 more
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