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Modeling the Risk in Mortality Projections
Operations Research, 2022Capturing the Uncertainty in Long-Term Mortality Forecasts The uncertainty in future longevity presents a substantial risk factor for insurance companies, pension funds, and retirement systems. In “Modeling the Risk in Mortality Projections,” Zhu and Bauer present novel stochastic models for analyzing this longevity risk that focus on the uncertainty
Nan Zhu, Daniel Bauer 0003
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Neonatal Risk Modeling and Prediction
2023 IEEE 19th International Conference on Body Sensor Networks (BSN), 2023Electronic fetal monitoring (EFM) is designed for the early detection of fetal risks and the prevention of serious neurological impairment but suffers from high false positive rates. The Fetal Reserve Index (FRI) is an expert-based system that combines EFM with maternal, obstetrical, and fetal risk factors and displays superior performance in risk ...
Abdullah Mamun +6 more
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Mathematical Finance, 2000
We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
Elliott, R. J., Jeanblanc, M., Yor, M.
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We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
Elliott, R. J., Jeanblanc, M., Yor, M.
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European Journal of Preventive Cardiology, 2012
An individual's overall cardiovascular risk should guide appropriate therapy and patient management. Several risk assessment scores are available; however, further development of risk algorithms is necessary to account for changes in available treatments and patient lifestyles, to make use of emerging risk factors and more accurate methods for ...
David, Prieto-Merino, Stuart J, Pocock
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An individual's overall cardiovascular risk should guide appropriate therapy and patient management. Several risk assessment scores are available; however, further development of risk algorithms is necessary to account for changes in available treatments and patient lifestyles, to make use of emerging risk factors and more accurate methods for ...
David, Prieto-Merino, Stuart J, Pocock
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2008
A competing risks model is a model for multiple durations that start at the same point in time for a given subject, where the subject is observed until the first duration is completed and one also observes which of the multiple durations is completed first.
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A competing risks model is a model for multiple durations that start at the same point in time for a given subject, where the subject is observed until the first duration is completed and one also observes which of the multiple durations is completed first.
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Model risk in backtesting risk measures [PDF]
, 2014 Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by ...
Evers, Corinna, Rohde, Johannes
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Model Risk in Risk Models: Quantifying Statistical Uncertainty in Active Risk
The Journal of Portfolio Management, 2021Risk models commonly provide a portfolio’s ex ante active risk as a point forecast. Under the hood of risk models, this forecast relies on a bevy of statistical estimations that introduce uncertainty in the forecast. Failure to incorporate this uncertainty in the risk forecast can present an incomplete picture of the portfolio’s risk profile ...
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SSRN Electronic Journal, 2011
Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model risks but, as yet, there is no accepted framework for ...
Carol Alexander, José María Sarabia
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Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model risks but, as yet, there is no accepted framework for ...
Carol Alexander, José María Sarabia
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SSRN Electronic Journal, 2005
The worldwide concern with corporate governance concerns itself, inter alia, with the risks that an organization faces; for many, IT is significant among those risks. This paper examines the audit approach, and others, to dealing with risks in IT-based systems.
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The worldwide concern with corporate governance concerns itself, inter alia, with the risks that an organization faces; for many, IT is significant among those risks. This paper examines the audit approach, and others, to dealing with risks in IT-based systems.
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The Identifiability of the Competing Risks Model
Biometrika, 1989This paper considers the consequences for identifiability of introducing regressors into the competing risks model of multistate duration analysis. We establish conditions under which access to regressors overturns the nonidentification theorem of \textit{D. R. Cox} [Renewal theory (1962; Zbl 0103.115)] and \textit{A. Tsiatis} [Proc. Natl. Acad.
Heckman, James J., Honoré, Bo E.
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