相关论文: Maturity-independent risk measures

This paper develops a novel unified framework for testing mutual independence among random objects residing in possibly different metric spaces. The framework generalizes existing methodologies and introduces new measures of mutual…

The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…

Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…

We propose a decision-analytical approach to comparing the flexibility of decision situations from the perspective of a decision-maker who exhibits constant risk-aversion over a monetary value model. Our approach is simple yet seems to be…

We present a new method for constructing a confidence interval for the mean of a bounded random variable from samples of the random variable. We conjecture that the confidence interval has guaranteed coverage, i.e., that it contains the…

We define a new class of Bayesian point estimators, which we refer to as risk averse. Using this definition, we formulate axioms that provide natural requirements for inference, e.g. in a scientific setting, and show that for well-behaved…

This paper introduces a comprehensive framework for complex-valued probability measures and explores their novel applications in information theory and statistical analysis. We define a complex probability measure as a phase-modulated…

In Basili and Pratelli (2024), a novel and coherent concept of interval probability measures has been introduced, providing a method for representing imprecise probabilities and uncertainty. Within the framework of set algebra, we…

The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…

Diffusion models play an essential role in modeling continuous-time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential…

The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…

In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…

In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this paper, we propose a new method for…

We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…

In this paper, we study the risk bounds for samples independently drawn from an infinitely divisible (ID) distribution. In particular, based on a martingale method, we develop two deviation inequalities for a sequence of random variables of…

In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-understood in a bivariate context, the concept remains…

In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity…

Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a…

We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…

In financial and actuarial research, distortion and Haezendonck-Goovaerts risk measures are attractive due to their strong properties. They have so far been treated separately. In this paper, following a suggestion by Goovaerts, Linders,…