Related papers: Extended Gini-type measures of risk and variabilit…
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…
Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the…
The paper presents a construction of a quantitative measure of variability for parameter estimates in the data fitting problem under interval uncertainty. It shows the degree of variability and ambiguity of the estimate, and the need for…
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain…
The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…
Kink model is developed to analyze the data where the regression function is twostage linear but intersects at an unknown threshold. In quantile regression with longitudinal data, previous work assumed that the unknown threshold parameters…
Regression discontinuity (RD) designs with multiple running variables arise in a growing number of empirical applications, including geographic boundaries and multi-score assignment rules. Although recent methodological work has extended…
We explore the consequences of a set of axioms which extend Scarsini's axioms for bivariate measures of concordance to the multivariate case and exhibit the following results: (1) A method of extending measures of concordance from the…
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…
Finite mixture distributions arise in sampling a heterogeneous population. Data drawn from such a population will exhibit extra variability relative to any single subpopulation. Statistical models based on finite mixtures can assist in the…
In this paper, we obtain an upper bound for the Gini mean difference based on mean, variance and correlation for the case when the variables are correlated. We also derive some closed-form expressions for the Gini mean difference when the…
This article aims to introduced a new lifetime distribution named as exponentiated xgamma distribution (EXGD). The new generalization obtained from xgamma distribution, a special finite mixture of exponential and gamma distributions. The…
Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial markets with volatility. In this paper, we will study the…
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…
Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an…
It is often the case that risk assessment and prognostics are viewed as related but separate tasks. This chapter describes a risk-based approach to prognostics that seeks to provide a tighter coupling between risk assessment and fault…
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…