Related papers: Multivariate extensions of expectiles risk measure…
In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management. In particular, we explain that such…
In the multivariate setting, estimates of extremal risk measures are important in many contexts, such as environmental planning and structural engineering. In this paper, we propose new estimation methods for extremal bivariate return…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional…
In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional…
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures, that we call Copula Conditional Tail…
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of…
The present article is devoted to the semi-parametric estimation of multivariate expectiles for extreme levels. The considered multivariate risk measures also include the possible conditioning with respect to a functional covariate,…
We introduce some new indexes to measure the departure of any multivariate continuous distribution on non-negative orthant from a given reference one such the uncorrelated exponential model, similar to the relative Fisher dispersion indexes…
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of positive definite matrices, we derive several conditional tail…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
I review recent progress in defining a probability measure in the inflationary multiverse. General requirements for a satisfactory measure are formulated and recent proposals for the measure are clarified and discussed.
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…
We propose a new method for multivariate response regression and covariance estimation when elements of the response vector are of mixed types, for example some continuous and some discrete. Our method is based on a model which assumes the…
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…
Interest in targeted disease prevention has stimulated development of models that assign risks to individuals, using their personal covariates. We need to evaluate these models, and to quantify the gains achieved by expanding a model with…