Related papers: Acceptable Bilateral Gamma Parameters
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the…
In this article, we present some specific aspects of symmetric Gamma process mixtures for use in regression models. We propose a new Gibbs sampler for simulating the posterior and we establish adaptive posterior rates of convergence related…
We propose a new sampling algorithm combining two quite powerful ideas in the Markov chain Monte Carlo literature -- adaptive Metropolis sampler and two-stage Metropolis-Hastings sampler. The proposed sampling method will be particularly…
We provide an analytical argument for understanding the likely nature of parameter shifts between those coming from an analysis of a dataset and from a subset of that dataset, assuming differences are down to noise and any intrinsic…
There has been substantial interest in estimating the value of a graph parameter, i.e., of a real-valued function defined on the set of finite graphs, by querying a randomly sampled substructure whose size is independent of the size of the…
Consider an M/M/$s$ queue with the additional feature that the arrival rate is a random variable of which only the mean, variance, and range are known. Using semi-infinite linear programming and duality theory for moment problems, we…
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using…
Markov chain Monte Carlo (MCMC) algorithms are widely used to sample from complicated distributions, especially to sample from the posterior distribution in Bayesian inference. However, MCMC is not directly applicable when facing the doubly…
In this contribution we consider the overall risk given as the sum of random subrisks $\mathbf{X}_j$ in the context of value-at-risk (VaR) based risk calculations. If we assume that the undertaking knows the parametric distribution family…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
In this paper, we begin our discussion with some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with…
Models with intractable likelihood functions arise in areas including network analysis and spatial statistics, especially those involving Gibbs random fields. Posterior parameter es timation in these settings is termed a doubly-intractable…
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…
Estimation of the degree of stability and the bounds of solutions to non-autonomous nonlinear systems present major concerns in numerous applied problems. Yet, current techniques are frequently yield overconservative conditions which are…
We tackle the problem of estimating risk measures of the infinite-horizon discounted cost within a Markov cost process. The risk measures we study include variance, Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR). First, we show…
Financial undertakings often have to deal with liabilities of the form 'non-hedgeable claim size times value of a tradeable asset', e.g. foreign property insurance claims times fx rates. Which strategy to invest in the tradeable asset is…
Bayesian inference and the use of posterior or posterior predictive probabilities for decision making have become increasingly popular in clinical trials. The current practice in Bayesian clinical trials relies on a hybrid…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…