Results 1 to 10 of about 122 (117)
Comonotonicity for sets of probabilities [PDF]
Fuzzy Sets and Systems, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ignacio Montes, Sébastien Destercke
exaly +2 more sources
Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems
Mathematics, 2021 We study the principal component analysis based approach introduced by Reisinger and Wittum (2007) and the comonotonic approach considered by Hanbali and Linders (2019) for the approximation of American basket option values via multidimensional partial ...
Karel J. in’t Hout, Jacob Snoeijer
doaj +1 more source
Expectile-Based Capital Allocation
International Journal of Analysis and Applications, 2023 This paper focuses on capital allocation using the Euler principle with Expectiles as risk measures. We delve into the allocation composition across various actuarial models, examining the influence of dependence through copulas, and studying the case of
Khalil Said
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Best comonotone approximation [PDF]
Transactions of the American Mathematical Society, 1994 The authors have described a general theory of best comonotone approximation in \(C[a,b]\) by elements of an \(n\)-dimensional extended Chebyshev subspace. Two theorems on characterizations are studied which seem to be useful for the actual computation of best comonotone approximations.
Deutsch, Frank, Zhong, Jun
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Comonotonic Measures of Multivariate Risks [PDF]
SSRN Electronic Journal, 2009 We propose a multivariate extension of a well‐known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile functions.
Ekeland, Ivar +2 more
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The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory [PDF]
Iranian Journal of Finance, 2019 This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under ...
Mohammad Esmaeil Fadaeinezad +1 more
doaj +1 more source
European Journal of Operational Research, 2018 The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly restrictive and sometimes unrealistic.
Ruodu Wang, Ricardas Zitikis
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Multi-asset option pricing using an information-based model
Scientific African, 2020 Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets.
Cynthia Ikamari +2 more
doaj +1 more source
On $\star$-associated comonotone functions [PDF]
Kybernetika, 2018 Summary: We give a positive answer to two open problems stated by \textit{M. Boczek} and \textit{M. Kaluszka} in their paper [Kybernetika 52, No. 3, 329--347 (2016; Zbl 1389.26063)]. The first one deals with an algebraic characterization of comonotonicity.
Ondrej Hutník, Jozef Pócs
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Decisions in Economics and Finance, 2004 This paper investigates a generalization of the notion of comonotonicity by introducing and exploring the concept of conditional comonotonicity. The authors characterize this notion and show by examples that conditional comonotonicity is the natural extension of comonotonicity to dynamic settings.
Napp, Clotilde, Jouini, Elyès
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