Related papers: Parameter uncertainty and reserve risk under Solve…
In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor.…
To use control charts in practice, the in-control state usually has to be estimated. This estimation has a detrimental effect on the performance of control charts, which is often measured for example by the false alarm probability or the…
We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…
In the analysis of elastic-scattering experimental data, optical-model parameters (usually, depths of real and imaginary potentials) are fitted and conclusions are drawn analyzing their variations at bombardment energies close to the…
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to recalibration of model parameters (in contradiction to…
Ensemble forecasts of weather and climate are subject to systematic biases in the ensemble mean and variance, leading to inaccurate estimates of the forecast mean and variance. To address these biases, ensemble forecasts are post-processed…
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for…
Effectively measuring and modeling the reliability of a trained model is essential to the real-world deployment of monocular depth estimation (MDE) models. However, the intrinsic ill-posedness and ordinal-sensitive nature of MDE pose major…
Many practical optimization problems involve uncertain parameters that are strictly positive. However, the most common uncertainty sets used in robust optimization are the box and the ellipsoidal sets, which may include non-positive values…
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the…
Methods for model parameter estimation, uncertainty quantification and experimental design are summarized in this paper. They are based on the generalized least squares estimator and different approximations of its covariance matrix using…
An inference procedure is proposed to provide consistent estimators of parameters in a modal regression model with a covariate prone to measurement error. A score-based diagnostic tool exploiting parametric bootstrap is developed to assess…
The vast majority of stochastic simulation models are imperfect in that they fail to exactly emulate real system dynamics. The inexactness of the simulation model, or model discrepancy, can impact the predictive accuracy and usefulness of…
Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the reserve, it does not allow to identify the whole distribution…
Recent advances in molecular simulations allow the evaluation of previously unattainable observables, such as rate constants for protein folding. However, these calculations are usually computationally expensive and even significant…
Current contingency reserve criteria ignore the likelihood of individual contingencies and, thus, their impact on system reliability and risk. This paper develops an iterative approach, inspired by the current security-constrained unit…
We propose using the frequency-domain bootstrap (FDB) to estimate errors of modeling parameters when the modeling error is itself a major source of uncertainty. Unlike the usual bootstrap or the simple $\chi^2$ analysis, the FDB can take…