Related papers: Pareto models for risk management
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation approach to modelling multivariate Poisson processes and…
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…
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is…
We derive some simple relations that demonstrate how the posterior convergence rate is related to two driving factors: a "penalized divergence" of the prior, which measures the ability of the prior distribution to propose a nonnegligible…
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can…
One of the arduous tasks in supply chain modelling is to build robust models against irregular variations. During the proliferation of time-series analyses and machine learning models, several modifications were proposed such as…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, which associates various classes of insurance contracts with…
We study efficient risk sharing among risk-averse agents in an economy with a large, finite number of states. Following a random shock to an initial agreement, agents may renegotiate. If they require a minimal utility improvement to accept…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
Whether stochastic or parametric, the Pareto/NBD model can only be utilized for an in-sample prediction rather than an out-of-sample prediction. This research thus provides a neural network based extension of the Pareto/NBD model to…
Phase-type (PH) distributions are a popular tool for the analysis of univariate risks in numerous actuarial applications. Their multivariate counterparts (MPH$^\ast$), however, have not seen such a proliferation, due to lack of explicit…
The assignment problem is one of the most well-studied settings in social choice, matching, and discrete allocation. We consider the problem with the additional feature that agents' preferences involve uncertainty. The setting with…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and the central limit theorems. Such an assumption may not be…
We propose a simple dynamical model of wealth evolution. The invariant distributions are of Pareto type and are dynamically stable as conjectured by Pareto.
Within the field of hierarchical modelling, little attention is paid to micro-macro models: those in which group-level outcomes are dependent on covariates measured at the level of individuals within groups. Although such models are perhaps…
We propose a restrictiveness measure for economic models based on how well they fit synthetic data from a pre-defined class. This measure, together with a measure for how well the model fits real data, outlines a Pareto frontier, where…