Related papers: Expectile Quadrangle and Applications
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a…
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that…
The quantile residual lifetime (QRL) regression is an attractive tool for assessing covariate effects on the distribution of residual life expectancy, which is often of interest in clinical studies. When the study subjects are exposed to…
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains derivatives instruments. In this paper, we postpone to estimate…
Functional data such as curves and surfaces have become more and more common with modern technological advancements. The use of functional predictors remains challenging due to its inherent infinite-dimensionality. The common practice is to…
Expected Shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
In various fields of data science, researchers are often interested in estimating the ratio of conditional expectation functions (CEFR). Specifically in causal inference problems, it is sometimes natural to consider ratio-based treatment…
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying…
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random variable until a user defined absolute error tolerance is…
Sequential monitoring of randomized trials traditionally relies on parametric assumptions or asymptotic approximations. We discuss a family of nonparametric sequential tests - collectively called e-RT - for binary, event-only, and…
A conjecture of Talagrand (2010) states that the so-called expectation and fractional expectation thresholds are always within at most some constant factor from each other. Expectation (resp. fractional expectation) threshold $q$ (resp.…
We present a computational method for measuring financial risk by estimating the Value at Risk and Expected Shortfall from financial series. We have made two assumptions: First, that the predictive distributions of the values of an asset…
Random Fourier Features (RFF) is among the most popular and broadly applicable approaches for scaling up kernel methods. In essence, RFF allows the user to avoid costly computations on a large kernel matrix via a fast randomized…
The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including…
Quantile and quantile effect functions are important tools for descriptive and causal analyses due to their natural and intuitive interpretation. Existing inference methods for these functions do not apply to discrete random variables. This…
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…
Very recently, extended fractional cumulative residual entropy (EFCRE) has been proposed by Foroghi et al. (2022). In this paper, we introduce extended fractional cumulative past entropy (EFCPE), which is a dual of the EFCRE. The newly…
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the economic properties of risk measures -- are defined and…