Related papers: Coherent estimation of risk measures

We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…

The purpose of this paper is to pursue our study of rho-estimators built from i.i.d. observations that we defined in Baraud et al. (2014). For a \rho-estimator based on some model S (which means that the estimator belongs to S) and a true…

Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable…

In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a…

In the past several years a wide range of methods for the construction of regression trees and other estimators based on the recursive partitioning of samples have appeared in the statistics literature. Many applications involve data…

We propose a novel approach to quantify quantum coherence which, contrary to the previous ones, does not rely on resource theory but rather on ontological considerations. In this framework, coherence is understood as the ability for a…

The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…

The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that…

We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement…

Since a rigorous framework for quantifying quantum coherence was established by Baumgratz et al. [T. Baumgratz, M. Cramer, and M. B. Plenio, Phys. Rev. Lett. 113, 140401 (2014)], many coherence measures have been found. For a given…

Many applied settings in empirical economics involve simultaneous estimation of a large number of parameters. In particular, applied economists are often interested in estimating the effects of many-valued treatments (like teacher effects…

Forecasting risk (as measured by quantiles) and systemic risk (as measured by Adrian and Brunnermeiers's (2016) CoVaR) is important in economics and finance. However, past research has shown that predictive relationships may be unstable…

Hazard ratios are often used to evaluate time to event outcomes, but they may be hard to interpret. A particular issue arise because hazards are typically estimated conditional on survival, i.e.\ on left truncated samples. Then, hazard…

Risk estimation is at the core of many learning systems. The importance of this problem has motivated researchers to propose different schemes, such as cross validation, generalized cross validation, and Bootstrap. The theoretical…

Coherence is a cornerstone of quantum theory and a prerequisite for the advantage of quantum technologies. In recent work, the notion of coherence with respect to a general quantum measurement (POVM) was introduced and embedded into a…

We propose an alternative framework for quantifying coherence. The framework is based on a natural property of coherence, the additivity of coherence for subspace-independent states, which is described by an operation-independent equality…

Judgmental forecasting employs human opinions to make predictions about future events, rather than exclusively historical data as in quantitative forecasting. When these opinions form an argumentative structure around forecasts, it is…

Sequential estimators are proposed for the relative risk, odds ratio, log relative risk or log odds ratio of a dichotomous attribute in two populations. The estimators take the same number of observations from each population, and guarantee…

We consider an empirical likelihood framework for inference for a statistical model based on an informative sampling design and population-level information. The population-level information is summarized in the form of estimating equations…

We pick up the regime switching model for asset returns introduced by Rogers and Zhang. The calibration involves various markets including implied volatility in order to gain additional predictive power. We focus on the calculation of risk…