Related papers: Expected Shortfall is jointly elicitable with Valu…
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar maps for the sensitivity of the portfolio weights to small…
A fundamental issue in deep learning has been adversarial robustness. As these systems have scaled, such issues have persisted. Currently, large language models (LLMs) with billions of parameters suffer from adversarial attacks just like…
A semi-parametric joint Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting framework employing multiple realized measures is developed. The proposed framework extends the realized exponential GARCH model to be semi-parametrically…
We demonstrate the feasibility of coincidence measurements in a conventional transmission electron microscope, revealing the temporal correlation between electron energy loss spectroscopy (EELS) and energy dispersive X-ray (EDX)…
A standard assumption in machine learning is the exchangeability of data, which is equivalent to assuming that the examples are generated from the same probability distribution independently. This paper is devoted to testing the assumption…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
Relative error estimation has been recently used in regression analysis. A crucial issue of the existing relative error estimation procedures is that they are sensitive to outliers. To address this issue, we employ the $\gamma$-likelihood…
Hypothesis tests and confidence intervals are ubiquitous in empirical research, yet their connection to subsequent decision-making is often unclear. We develop a theory of certified decisions that pairs recommended decisions with…
Poisson random effect models with a shared random effect have been widely used in actuarial science for analyzing the number of claims. In particular, the random effect is a key factor in a posteriori risk classification. However, the…
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i.i.d. data. It is well known that the classical plug-in estimator suffers from poor statistical performance when faced with…
A standard practice in statistical hypothesis testing is to mention the p-value alongside the accept/reject decision. We show the advantages of mentioning an e-value instead. With p-values, it is not clear how to use an extreme observation…
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted standard-deviatile. First, we derive the asymptotic…
We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical process theory is a very powerful tool, both for the asymptotic…
Applying software defect esimation techniques and presenting this information in a compact and impactful decision table can clearly illustrate to collaborative groups how critical this position is in the overall development cycle. The Test…
This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an…
Distortion risk measures play a critical role in quantifying risks associated with uncertain outcomes. Accurately estimating these risk measures in the context of computationally expensive simulation models that lack analytical tractability…
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric…
In Econometrics, imposing restrictions without assuming underlying distributions to modelize complex realities is a valuable methodological tool. However, if a subset of restrictions were not correctly specified, the usual test-statistics…
Importance sampling is a popular technique in Bayesian inference: by reweighting samples drawn from a proposal distribution we are able to obtain samples and moment estimates from a Bayesian posterior over latent variables. Recent work,…
We propose an easily computed estimator of marginal likelihoods from posterior simulation output, via reciprocal importance sampling, combining earlier proposals of DiCiccio et al (1997) and Robert and Wraith (2009). This involves only the…