Related papers: The Aggregation Property and its Applications to R…
Generalizing the realized variance, the realized skewness (Neuberger, 2012) and the realized kurtosis (Bae and Lee, 2020), we construct realized cumulants with the so-called aggregation property. They are unbiased statistics of the…
We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregation has become one of the main tools for modelling of long…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are…
We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-case risk (WR) approach, the MA approach produces not only a…
In order to improve forecasts, a decisionmaker often combines probabilities given by various sources, such as human experts and machine learning classifiers. When few training data are available, aggregation can be improved by incorporating…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are…
In this paper we analyze judgement aggregation problems in which a group of agents independently votes on a set of complex propositions that has some interdependency constraint between them(e.g., transitivity when describing preferences).…
We present a comprehensive set of conditions and rules to control the correctness of aggregation queries within an interactive data analysis session. The goal is to extend self-service data preparation and BI tools to automatically detect…
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the…
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…