Related papers: Risk Management with Tail Quasi-Linear Means
In this paper, we consider the problem of linear regression with heavy-tailed distributions. Different from previous studies that use the squared loss to measure the performance, we choose the absolute loss, which is capable of estimating…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of…
We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…
Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially…
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…
The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail risks associated with uncertain losses. However, when data…
The study of loss function distributions is critical to characterize a model's behaviour on a given machine learning problem. For example, while the quality of a model is commonly determined by the average loss assessed on a testing set,…
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual…
Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on aymptotic independent pairs in quantitative risk…
We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a…
Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…
This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that the tail of a distribution follows a generalized Pareto…
The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily…
Quantiles and expectiles, which are two important concepts and tools in tail risk measurements, can be regarded as an extension of median and mean, respectively. Both of these tail risk measurers can actually be embedded in a common…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting. The proposed approach is based on a two-step estimation…
We introduce a new actuarial tail-shape index, the $\theta$-index, based on a probability equal level relationship between Value at Risk and Expected Shortfall. The index is defined at each tail probability level as the parameter value for…