Related papers: Acceptable Bilateral Gamma Parameters
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…
Model predictive control is a control approach that minimizes a stage cost over a predicted system trajectory based on a model of the system and is capable of handling state and input constraints. For uncertain models, robust or adaptive…
Classical field forecast evaluation relies mainly on local scores such as RMSE or MAE. These metrics severely over-penalize small spatial or temporal displacements of coherent structures, a limitation known as the double-penalty issue and…
This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…
The paper derives the theoretical Cramer-Rao lower bound for parameter estimation of a source (of emitting energy, gas, aerosol), monitored by a network of sensors providing binary measurements. The theoretical bound is studied in the…
The article addresses a long-standing open problem on the justification of using variational Bayes methods for parameter estimation. We provide general conditions for obtaining optimal risk bounds for point estimates acquired from…
Given a gamma population with known shape parameter $\alpha$, we develop a general theory for estimating a function $g(\cdot)$ of the scale parameter $\beta$ with bounded variance. We begin by defining a sequential sampling procedure with…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…
Positive linear systems on arbitrary time scales are studied. The theory developed in the paper unifies and extends concepts and results known for continuous-time and discrete-time systems. A necessary and sufficient condition for a linear…
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
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…
We employ uncertain parametric CTMCs with parametric transition rates and a prior on the parameter values. The prior encodes uncertainty about the actual transition rates, while the parameters allow dependencies between transition rates.…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) formulation for modeling the daily price ranges of financial assets. It is assumed that the process generating the conditional expected ranges at each…
The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…