Results 1 to 10 of about 575 (49)
Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
Dependence Modeling, 2023 The central mathematical tool discussed is a non-standard family of polynomials, univariate and bivariate, called Abel-Goncharoff polynomials. First, we briefly summarize the main properties of this family of polynomials obtained in the previous work ...
Lefèvre Claude, Picard Philippe
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Dependence Modeling, 2020 We first review an approach that had been developed in the past years to introduce concepts of “bivariate ageing” for exchangeable lifetimes and to analyze mutual relations among stochastic dependence, univariate ageing, and bivariate ageing.
Nappo Giovanna, Spizzichino Fabio
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Set-Valued Weighted Value at Risk and Its Computation
Frontiers in Physics, 2020 In this paper, we propose a new class of set-valued coherent risk measures called the set-valued weighted value at risk. Firstly, the “regulator” version is independent of other market scenarios.
Yichuan Dong +5 more
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International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 14, Page 721-739, 2004., 2004 We study a family of diffusion models for compounded risk reserves which account for the investment income earned and for the inflation experienced on claim amounts. We are interested in the models in which the dividend payments are paid from the risk reserves.
S. Shao, C. L. Chang
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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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Asymptotic solutions of diffusion models for risk reserves
International Journal of Mathematics and Mathematical Sciences, Volume 2003, Issue 35, Page 2221-2239, 2003., 2003 We study a family of diffusion models for risk reserves which account for the investment income earned and for the inflation experienced on claim amounts. After we defined the process of the conditional probability of ruin over finite time and imposed the appropriate boundary conditions, classical results from the theory of diffusion processes turn the
S. Shao
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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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Are law-invariant risk functions concave on distributions?
Dependence Modeling, 2013 While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions.
Acciaio Beatrice, Svindland Gregor
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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
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Bounding Stochastic Dependence, Complete Mixability of Matrices, and Multidimensional Bottleneck Assignment Problems [PDF]
, 2014 We call a matrix completely mixable if the entries in its columns can be permuted so that all row sums are equal. If it is not completely mixable, we want to determine the smallest maximal and largest minimal row sum attainable.
Haus, Utz-Uwe
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