Related papers: General framework for a portfolio theory with non-…
Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events. While modern diffusion-based models have advanced…
In reliability and life data analysis, the Weibull distribution is widely used to accommodate more data characteristics by changing the values of the parameters. We frequently observe many zeros or close to zero data points in reliability…
The mathematical properties of a family of generalized beta distribution, including beta-normal, skewed-t, log-F, beta-exponential, beta-Weibull distributions have recently been studied in several publications. This paper applies these…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
By recognizing that the main difficulty of the modeling of daily precipitation amounts is the selection of an appropriate probability distribution, this study aims to establish a model selection framework to identify the appropriate…
In this paper we propose a new four-parameters distribution with increasing, decreasing, bathtub-shaped and unimodal failure rate, called as the exponentiated Weibull-Poisson (EWP) distribution. The new distribution arises on a latent…
The maximum ${\log}_q$ likelihood estimation method is a generalization of the known maximum $\log$ likelihood method to overcome the problem for modeling non-identical observations (inliers and outliers). The parameter $q$ is a tuning…
Weibull distribution has received a wide range of applications in engineering and science. The utility and usefulness of an estimator is highly subject to the field of practitioner's study. In practice users looking for their desired…
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution…
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in the existing literature. This paper builds on two novel…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices…
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…
Parametric portfolio policies may experience estimation risk. I develop a generalized Bayesian framework that updates priors, delivering a posterior distribution over characteristic tilts and out-of-sample returns that is the unique…
This paper introduces a new three-parameters model called the Weibull-G exponential distribution (WGED) distribution which exhibits bathtub-shaped hazard rate. Some of it's statistical properties are obtained including quantile, moments,…
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
The Weibull distribution is one of the most used tools in reliability analysis. In this paper, assuming a Bayesian approach, we propose necessary and sufficient conditions to verify when improper priors lead to proper posteriors for the…
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…
In this paper, we introduce a new class of distributions by compounding the exponentiated extended Weibull family and power series family. This distribution contains several lifetime models such as the complementary extended Weibull-power…