Results 31 to 40 of about 122 (117)

Subuniformity of harmonic mean p$$ p $$‐values

Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.
Abstract We obtain several inequalities on the generalized means of dependent p$$ p $$‐values. In particular, the weighted harmonic mean of p$$ p $$‐values is strictly subuniform under several dependence assumptions of p$$ p $$‐values, including independence, negative upper orthant dependence, the class of extremal mixture copulas, and some Clayton ...
Yuyu Chen, Ruodu Wang, Yuming Wang, Wenhao Zhu   +3 more
wiley   +1 more source

Comonotonic Book-Making With Nonadditive Probabilities [PDF]

SSRN Electronic Journal, 2000
This paper shows how de Finetti's book-making principle, commonly used to justify additive subjective probabilities, can be modi-ed to agree with some nonexpected utility models.More precisely, a new foundation of the rank-dependent models is presented that is based on a comonotonic extension of the book-making principle.The extension excludes book ...
Diecidue, E., Wakker, P.P.
openaire   +4 more sources

Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho

Risk Management and Insurance Review, Volume 29, Issue 1, Page 64-98, Spring 2026.
Abstract We propose a new method to measure systemic risk in the global insurance sector by analyzing interconnectedness among firms under different market conditions. Using a semi‐parametric approach that relies on the Spearman correlation and copula‐based partial dependence, we assess relationships in relatively stable, extremely bullish, and ...
Leonardo Iania, Arturo Leccadito, Alessandro Staino   +2 more
wiley   +1 more source

Value at Risk and the Diversification Dogma || Valor en riesgo y el dogma de la diversificación

Revista de Métodos Cuantitativos para la Economía y la Empresa, 2017
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them.
Erdely, Arturo
doaj  

CONVERGENCE OF COMONOTONE HISTOPOLATING SPLINES

Mathematical Modelling and Analysis, 2015
The convergence rate of histopolation on an interval with combined splines of class C1 having linear/linear rational or quadratic polynomial pieces is studied. The function to histopolate may have finite number of derivative zeros and established convergence rate depends mainly on the behaviour of the derivative near its zeros.
Hallik, Helle, Oja, Peeter
openaire   +3 more sources

Robust Λ$\Lambda$‐Quantiles and Extremal Distributions

Mathematical Finance, Volume 36, Issue 1, Page 3-19, January 2026.
ABSTRACT In this paper, we investigate the robust models for Λ$\Lambda$‐quantiles with partial information regarding the loss distribution, where Λ$\Lambda$‐quantiles extend the classical quantiles by replacing the fixed probability level with a probability/loss function Λ$\Lambda$.
Xia Han, Peng Liu
wiley   +1 more source

Efficiency in Pure‐Exchange Economies With Risk‐Averse Monetary Utilities

Mathematical Finance, Volume 36, Issue 1, Page 99-117, January 2026.
ABSTRACT We study Pareto efficiency in a pure‐exchange economy where agents' preferences are represented by risk‐averse monetary utilities. These coincide with law‐invariant monetary utilities, and they can be shown to correspond to the class of monotone, (quasi‐)concave, Schur concave, and translation‐invariant utility functionals. This covers a large
Mario Ghossoub, Michael B. Zhu
wiley   +1 more source

On comprehensive families of copulas involving the three basic copulas and transformations thereof

Dependence Modeling
Comprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence, and comonotonicity of pairs of random variables on the same probability space. In this contribution,
Saminger-Platz Susanne, Kolesárová Anna, Šeliga Adam, Mesiar Radko, Klement Erich Peter   +4 more
doaj   +1 more source

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

Reliability Inference for Bivariate Lifetimes With Odd Fréchet Half‐Logistic Marginals Under Unified Hybrid Censoring

Journal of Mathematics, Volume 2026, Issue 1, 2026.
A bivariate lifetime model is proposed by coupling odd Fréchet half‐logistic (OFHL) marginals with the Farlie–Gumbel–Morgenstern (FGM) copula under a unified hybrid censoring (UHC) scheme introducing UHC for bivariate lifetime models for the first time.
Ehab M. Almetwally, Smritijit Sen
wiley   +1 more source