Related papers: Dual Moments and Risk Attitudes
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of…
A common problem in formulating models for the relative risk and risk difference is the variation dependence between these parameters and the baseline risk, which is a nuisance model. We address this problem by proposing the conditional log…
This paper introduces measures for how each moment contributes to the precision of parameter estimates in GMM settings. For example, one of the measures asks what would happen to the variance of the parameter estimates if a particular…
In multiple testing scenarios, typically the sign of a parameter is inferred when its estimate exceeds some significance threshold in absolute value. Typically, the significance threshold is chosen to control the experimentwise type I error…
In crowd evacuation the time interval before decisive movement towards a safe place is defined as the pre-evacuation phase, and it has crucial impact on the total time required for safe egress. This process mainly refers to situation…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
Understanding the affective, cognitive and behavioural processes involved in risk taking is essential for treatment and for setting environmental conditions to limit damage. Using Temporal Difference Reinforcement Learning (TDRL) we…
Generalized method of moments estimators based on higher-order moment conditions derived from independent shocks can be used to identify and estimate the simultaneous interaction in structural vector autoregressions. This study highlights…
In classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
By means of the techniques of Boolean valued analysis, we provide a transfer principle between duality theory of classical convex risk measures and duality theory of conditional risk measures. Namely, a conditional risk measure can be…
Studies accumulate over time and meta-analyses are mainly retrospective. These two characteristics introduce dependencies between the analysis time, at which a series of studies is up for meta-analysis, and results within the series.…
We propose a projection method to estimate risk-neutral moments from option prices. We derive a finite-sample bound implying that the projection estimator attains (up to a constant) the smallest pricing error within the span of traded…
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…
We propose a distributional framework for benchmarking socio-technical risks of foundation models with quantified statistical significance. Our approach hinges on a new statistical relative testing based on first and second order stochastic…
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We…
We propose a model for diffusion of two opposite opinions. Here, the decision to be taken by each individual is a random variable which depends on the tendency of the population, as well on its own trend characteristic. The influence of the…
This paper proceeds an approximate calculation of ultimate time survival probability for bi-seasonal discrete time risk model when premium rate equals two. The same model with income rate equal to one was investigated in 2014 by Damarackas…