Related papers: Regulator-based risk statistics with scenario anal…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…
We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
Randomized Controlled Trials (RCT) are the current gold standards to empirically measure the effect of a new drug. However, they may be of limited size and resorting to complementary non-randomized data, referred to as observational, is…
The work deals with the risk assessment theory. An unitary risk algorithm is elaborated. The algorithm is based on parallel curves. The basic curve of risk is a hyperbolic curve, obtained as a multiplication between the probability of…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
In statistical process control, procedures are applied that require relatively strict conditions for their use. If such assumptions are violated, these methods become inefficient, leading to increased incidence of false signals. Therefore,…
This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the precision of these estimators, and proposes…
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…
When estimating the risk of a financial position with empirical data or Monte Carlo simulations via a tail-dependent law invariant risk measure such as the Conditional Value-at-Risk (CVaR), it is important to ensure the robustness of the…
Control of complex turbulent dynamical systems involving strong nonlinearity and high degrees of internal instability is an important topic in practice. Different from traditional methods for controlling individual trajectories, controlling…
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles…
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…
Recently the European Union Agency for Railways (ERA) has received a mandate for 'the development of common safety methods for assessing the safety level and the safety performance of railway operators at national and Union level'.…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.
Instructors of statistics who teach non-statistics majors possess varied academic backgrounds, and hence it is reasonable to expect variability in their content knowledge, and pedagogical approach. The aim of this study was to determine the…
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…
Current statistics can be calculated in various ways. Event-based approaches use the statistics of the number of events occuring during a given time. Time-based approaches use the statistics of the time needed to reach a given number of…
Consider the relationship between a regulator (the principal) and an experimenter (the agent) such as a pharmaceutical company. The pharmaceutical company wishes to sell a drug for profit, whereas the regulator wishes to allow only…