Results 41 to 50 of about 122 (117)
Extension of the Risk Model From a Hawkes Variable Memory Process via the Spearman Copula
Journal of Probability and Statistics, Volume 2026, Issue 1, 2026.The ultimate ruin probability of an insurance company throughout its operating life remains and continues to be a major and very complex concern for the latter. Although this probability of ruin can be modeled using stochastic processes, its determination remains particularly complex.
Souleymane Badini +4 more
wiley +1 more source
A note on comonotonic additivity [PDF]
Glasgow Mathematical Journal, 1996 AbstractThe axiom of comonotonic independence for a preference ordering was introduced by Schmeidler [9]. It leads to the comonotonic additivity for the functional representing the preference ordering, which is necessarily a Choquet integral.The aim of this paper is to illuminate the concepts of comonotonicity, comonotonic independence and comonotonic ...
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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 +2 more
wiley +1 more source
Nearly comonotone approximation [PDF]
Proceedings of the American Mathematical Society, 1975 This paper obtains estimates on the degree of nearly comonotone approximation which extend and improve the estimate obtained by Newman, Passow, and Raymon. In particular, the restriction that f
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Expected value, to a point: Moral decision‐making under background uncertainty
Noûs, Volume 59, Issue 4, Page 1093-1125, December 2025.Abstract Expected value maximization gives plausible guidance for moral decision‐making under uncertainty in many situations. But it has unappetizing implications in ‘Pascalian’ situations involving tiny probabilities of extreme outcomes. This paper shows, first, that under realistic levels of ‘background uncertainty’ about sources of value independent
Christian Tarsney
wiley +1 more source
Theoretical Economics, Volume 20, Issue 4, Page 1285-1322, November 2025.Implementation theory is concerned with the existence of mechanisms in which, at each state of the world, all equilibria result in outcomes that are within a given social choice correspondence (SCC). However, if agents make mistakes, if their preferences or the solution concept are misspecified, or if the designer is limited in what can be used as ...
Malachy James Gavan, Antonio Penta
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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
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Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach
Journal of Forecasting, Volume 44, Issue 6, Page 1907-1945, September 2025.ABSTRACT Based on a joint quantile and expected shortfall semiparametric methodology, we propose a novel approach to forecasting market risk conditioned to transition risk exposure. This method allows us to forecast two climate‐related financial risk measures called CoClimateVaR and CoClimateES, being jointly elicitable, that capture the dependence of ...
Laura Garcia‐Jorcano +1 more
wiley +1 more source
Journal of Risk and Insurance, Volume 92, Issue 3, Page 765-817, September 2025.Abstract Two distinct strands of research focus on decentralized risk sharing plans. One strand centers on classic risk sharing and decentralized insurance, including peer‐to‐peer insurance, mutual aid, and DeFi insurance. The other explores decentralized annuities, such as tontine and group self‐annuitization. Despite their disparate development paths,
Runhuan Feng, Peixin Liu
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A portfolio diversification measure in the unit interval: A coherent and practical approach
International Journal of Finance &Economics, Volume 30, Issue 3, Page 2771-2785, July 2025.Abstract In this article, we introduce and examine the efficiency of a portfolio diversification measure. Using the recently developed coherence properties for diversification measures as well as other criteria, we show that the novel measure outperforms the most commonly used diversification measures.
Yuri Salazar Flores +3 more
wiley +1 more source