相关论文: On some multivariate Sarmanov mixed Erlang reinsur…
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…
In this paper, we derive the joint distribution of progression-free and overall survival as a function of transition probabilities in a multistate model. No assumptions on copulae or latent event times are needed and the model is allowed to…
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer…
In this article we survey properties of mixed Poisson distributions and probabilistic aspects of the Stirling transform: given a non-negative random variable $X$ with moment sequence $(\mu_s)_{s\in\mathbb{N}}$ we determine a discrete random…
A novel strategy that combines a given collection of $\pi$-reversible Markov kernels is proposed. At each Markov transition, one of the available kernels is selected via a state-dependent probability distribution. In contrast to random-scan…
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…
The benefits of diversifying risks are difficult to estimate quantitatively because of the uncertainties in the dependence structure between the risks. Also, the modelling of multidimensional dependencies is a non-trivial task. This paper…
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with…
Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…
Let $X,X_1,\ldots,X_n$ be independent identically distributed random variables. The paper deals with the question about the behavior of the concentration function of the random variable $\sum\limits_{k=1}^{n}X_k a_k$ according to the…
This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and…
Probabilistic model checking traditionally verifies properties on the expected value of a measure of interest. This restriction may fail to capture the quality of service of a significant proportion of a system's runs, especially when the…
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…
Predictive distributions need to be aggregated when probabilistic forecasts are merged, or when expert opinions expressed in terms of probability distributions are fused. We take a prediction space approach that applies to discrete, mixed…
A linear multiple regression model in function spaces is formulated, under temporal correlated errors. This formulation involves kernel regressors. A generalized least-squared regression parameter estimator is derived. Its asymptotic…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties such as closure under size-biased Esscher transform, order…
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…
We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the…