Results 21 to 30 of about 87 (65)

Upper Comonotonicity and Risk Aggregation Under Dependence Uncertainty

Mathematical Finance, Volume 36, Issue 1, Page 118-139, January 2026.
ABSTRACT In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multimarginal couplings, as a generalization of well‐known correlation statistics such as the Pearson correlation. The first
Corrado De Vecchi, Max Nendel, Jan Streicher   +2 more
wiley   +1 more source

Comonotonic‐Based Time Series Clustering With Constraints: A Review and a Conceptual Framework

Environmetrics, Volume 36, Issue 8, December 2025.
ABSTRACT Time series clustering is a widely used unsupervised learning approach that identifies groups of similar time series to uncover hidden patterns in complex datasets. In recent years, this technique has gained traction in the analysis of geo‐referenced time series, where spatial information must be incorporated into the dissimilarity measure to ...
Alessia Benevento, Fabrizio Durante, Roberta Pappadà   +2 more
wiley   +1 more source

A multivariate Poisson model based on a triangular comonotonic shock construction

Canadian Journal of Statistics, Volume 53, Issue 3, September 2025.
Abstract Multi‐dimensional data frequently occur in many different fields, including risk management, insurance, biology, environmental sciences, and many more. In analyzing multivariate data, it is imperative that the underlying modelling assumptions adequately reflect both the marginal behaviour and the associations between components.
Orla A. Murphy, Juliana Schulz
wiley   +1 more source

Distortion risk measures: Prudence, coherence, and the expected shortfall

Mathematical Finance, Volume 34, Issue 4, Page 1291-1327, October 2024.
Abstract Distortion risk measures (DRM) are risk measures that are law invariant and comonotonic additive. The present paper is an extensive inquiry into this class of risk measures in light of new ideas such as qualitative robustness, prudence and no reward for concentration, and tail relevance.
Massimiliano Amarante, Felix‐Benedikt Liebrich   +1 more
wiley   +1 more source

Degree of nearly comonotone approximation of periodic functions

Asian-European Journal of Mathematics, 2023
Let a [Formula: see text]-periodic function [Formula: see text] change its monotonicity at a finitely even number of points [Formula: see text] of the period. The degree of approximation of this [Formula: see text] by trigonometric polynomials which are comonotone with it, i.e.
openaire   +3 more sources

Robust distortion risk measures

Mathematical Finance, Volume 34, Issue 3, Page 774-818, July 2024.
Abstract The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well‐informed decisions. In this paper, we quantify, for the class of distortion risk measures with an absolutely continuous distortion function, its robustness to distributional uncertainty by deriving ...
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel   +2 more
wiley   +1 more source

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior [PDF]

SSRN Electronic Journal, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Runhuan Feng, Xiaochen Jing, Jan Dhaene
openaire   +3 more sources

Comonotic Approximations for a Generalized Provisioning Problem with Application to Optimal Portfolio Selection [PDF]

SSRN Electronic Journal, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Koen Van Weert, Jan Dhaene, Marc J. Goovaerts   +2 more
openaire   +4 more sources

Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap [PDF]

ASTIN Bulletin, 2010
AbstractThis paper aims to provide accurate approximations for the quantiles of the conditional expected present value of the payments made by the annuity provider, given the future path of the Lee-Carter time index. Conditional cohort and period life expectancies are also considered.
Denuit, M., Haberman, S., Renshaw, A. E.
openaire   +3 more sources

Reoptimization of parameterized problems. [PDF]

Acta Inform, 2022
Böckenhauer HJ, Burjons E, Raszyk M, Rossmanith P.   +3 more
europepmc   +1 more source