相关论文: Have your cake and eat it too: increasing returns …

To achieve a greater general flexibility for modeling heavy-tailed bounded responses, a beta scale mixture model is proposed. Each member of the family is obtained by multiplying the scale parameter of the conditional beta distribution by a…

In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…

We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…

We revisit and refine known tail inequalities and confidence bounds for the hypergeometric distribution, i.e., for the setting where we sample without replacement from a fixed population with binary values or properties. The results are…

A 6-parameter fat-tailed distribution is proposed that generalises the t-distribution and allows asymmetry of scale and also of tail power, whilst avoiding the discontinuity of the second derivative of the split-t (AST) distribution. With…

We consider a model for multivariate data with heavy-tailed marginal distributions and a Gaussian dependence structure. The different marginals in the model are allowed to have non-identical tail behavior in contrast to most popular…

We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…

In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…

Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…

Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…

Due to the skessed distribution, high peak and thick tail and asymmetry of financial return data, it is difficult to describe the traditional distribution. In recent years, generalized autoregressive score (GAS) has been used in many fields…

This paper develops a unified framework that integrates behavioral distortions into rational portfolio optimization by extracting implied probability weighting functions (PWFs) from optimal portfolios modeled under Gaussian and…

While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…

The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing…

We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…

Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…

Portfolio optimization methods have evolved significantly since Markowitz introduced the mean-variance framework in 1952. While the theoretical appeal of this approach is undeniable, its practical implementation poses important challenges,…

While the {estimation} of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…

We focus on parameterized policy search for reinforcement learning over continuous action spaces. Typically, one assumes the score function associated with a policy is bounded, which fails to hold even for Gaussian policies. To properly…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…