相关论文: VaR-Efficient Portfolios for a Class of Super- and…

The Gumbel max-domain of attraction corresponds to a null tail index which do not distinguish the different tail weights that might exist between distributions within this class. The Weibull-type distributions form an important subgroup of…

We introduce a new functional measure of tail dependence for weakly dependent (asymptotically independent) random vectors, termed weak tail dependence function. The new measure is defined at the level of copulas and we compute it for…

Many management decisions involve accumulated random realizations for which only the first and second moments of their distribution are available. The sharp Chebyshev-type bound for the tail probability and Scarf bound for the expected loss…

In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of…

In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of sums of random variables. We derive the first order upper-tail behaviour of the weighted sum of bivariate random variables under weak…

In this paper, we consider the problem of estimating an extreme quantile of a Weibull tail-distribution. The new extreme quantile estimator has a reduced bias compared to the more classical ones proposed in the literature. It is based on an…

In this work, we modify the affine wealth model of wealth distributions to examine the effects of nonconstant redistribution on the very wealthy. Previous studies of this model, restricted to flat redistribution schemes, have demonstrated…

We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable $Y$ and a nonnegative but otherwise arbitrary random variable $S$ called the…

The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…

The Weibull distribution is a commonly used model for the strength of brittle materials and earthquake return intervals. Deviations from Weibull scaling, however, have been observed in earthquake return intervals and in the fracture…

In this article, we introduce the notion of free subexponentiality, which extends the notion of subexponentiality in the classical probability setup to the noncommutative probability spaces under freeness. We show that distributions with…

This paper presents a new methodology for generating continuous statistical distributions, integrating the exponentiated odds ratio within the framework of survival analysis. This new method enhances the flexibility and adaptability of…

We define in a probabilistic way a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and total independent copulas, and the bivariate tail…

Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of…

The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…

We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the…

This paper is organized in three parts closely related to closure properties of heavy-tailed distributions and heavy-tailed random vectors. In the first part we consider two random variables X and Y with distributions F and G respectively.…

In this paper we present various new inequalities for tail proabilities for distributions that are elements of the most improtant exponential families. These families include the Poisson distributions, the Gamma distributions, the binomial…

This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management. We assess the predictive performance of optimal forecasts from…

The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known. Two examples illustrate that…