Results 21 to 30 of about 90 (78)
Financial Stability Index for SADC Banks: Estimation, Property, and Inference
Journal of Applied Mathematics, Volume 2025, Issue 1, 2025.Monitoring the financial stability of commercial banks is crucial for assessing their long‐term viability. Traditional stability indexes are typically constructed by identifying key financial and macroeconomic determinants and applying regression‐based methods. However, these approaches lack flexibility, as they require recalibrating stability measures
Samuel Senzani +4 more
wiley +1 more source
Journal of Mathematical Analysis and Applications, 2003 In the paper a locally compact space \(X\) is considered. Two real functions \(f\), \(g\) are comonotonic \((f\sim g)\) if \(f(x)< f(x')\) implies \(g(x)\leq g(x')\). A functional \(I\) is comonotonically additive, if \(f\sim g\) implies \(I(f+ g)= I(f)+ I(g)\) and \(f\leq g\) implies \(I(f)\leq I(g)\).
Y. Narukawa, T. Murofushi
openaire +2 more sources
Dynamic economics with quantile preferences
Theoretical Economics, Volume 20, Issue 1, Page 353-425, January 2025.This paper studies a dynamic quantile model for intertemporal decisions under uncertainty, in which the decision maker maximizes the τ‐quantile of the stream of future utilities, for τ ∈ (0,1). We present two sets of contributions. First, we generalize existing results in directions that are important for applications.
Luciano de Castro +2 more
wiley +1 more source
Heterogeneous Mediation Analysis for Cox Proportional Hazards Model With Multiple Mediators
Statistics in Medicine, Volume 43, Issue 29, Page 5497-5512, 20 December 2024.ABSTRACT This study proposes a heterogeneous mediation analysis for survival data that accommodates multiple mediators and sparsity of the predictors. We introduce a joint modeling approach that links the mediation regression and proportional hazards models through Bayesian additive regression trees with shared typologies.
Rongqian Sun, Xinyuan Song
wiley +1 more source
Extensive measurement in social choice
Theoretical Economics, Volume 19, Issue 4, Page 1581-1618, November 2024.Extensive measurement is the standard measurement‐theoretic approach for constructing a ratio scale. It involves the comparison of objects that can be concatenated in an additively representable way. This paper studies the implications of extensively measurable welfare for social choice theory. We do this in two frameworks: an Arrovian framework with a
Jacob M. Nebel
wiley +1 more source
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
Mathematical Finance, Volume 34, Issue 4, Page 1242-1262, October 2024.Abstract When prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity‐sensitive (Choquet and/or Šipoš) pricing rules, that is ...
Lorenzo Bastianello +2 more
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 +1 more
wiley +1 more source
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 +2 more
wiley +1 more source
Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk
Journal of Risk and Insurance, Volume 91, Issue 2, Page 449-488, June 2024.Abstract Centralized insurance can be found in both the private and public sectors. This paper provides a microeconomic study of the risk‐sharing mechanisms in these markets, where multiple policyholders interact with a centralized monopolistic insurer.
Tim J. Boonen +2 more
wiley +1 more source
Reinforcement learning with dynamic convex risk measures
Mathematical Finance, Volume 34, Issue 2, Page 557-587, April 2024.Abstract We develop an approach for solving time‐consistent risk‐sensitive stochastic optimization problems using model‐free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic convex risk measures. We employ a time‐consistent dynamic programming principle to determine the value of
Anthony Coache, Sebastian Jaimungal
wiley +1 more source