Risk measurement in the presence of background risk It is shown that the properties of the risk measure depart from those of coherent distortion measures. In particular, it is shown that the presence of ... A Tsanakas - 《Insurance Mathematics & Economics》 被引量: 81发表: 2008年 Risk mea...
in the property that requires that a risk measure should depend only on the losses, and not also on the gains of an investment. We consider two classes of conservative risk measures: the robust risk measures and the conservative coherent risk measures. While the robust risk measures are based...
in the property that requires that a risk measure should depend only on the losses, and not also on the gains of an investment. We consider two classes of conservative risk measures: the robust risk measures and the conservative coherent risk measures. While the robust risk measures are based...
Its economic and financial meaning can be understood as follows:when the portfolio return is lower than its τ quantile, after trading off conditional downside mean punishment, the size of the losses below the expected return. The coherent risk measure of Adjexpectile is discussed. Generally Adj...
Coherent risk measures in inventory problems This result carries over even to the case when there is a fixed ordering cost. We also analyze monotonicity properties of the optimal order quantity with... AUÇ Shapiro - 《European Journal of Operational Research》 被引量: 284发表: 2007年 加载更多...
aExpected shortfall is a measure used in preference to VAR in some cases since is has more mathematically convenient properties and, unlike VAR, is argued to be a ‘‘coherent risk measure’’. In this case, it corresponds to the expected exposure above the relevant PFE value. 因为更加数学上...
At several points we look at the e?ect of dependence structure on the Value-at-Risk or VaR under a particular probability model, i.e. we measure and compare risks by looking at quantiles. We also relate these considerations to the idea of a coherent measure of risk as introduced by ...
aAlthough VaR is a very popular measure of market risk of financial trading portfolios,it is not a panacea for all risk assessments (Sanders, 2002) and has several drawbacks, limitations and undesirable properties. 虽然VaR是财政贸易的股份单的市场风险一项非常普遍的措施,它不是万能药为所有风险评估 ...
The use of extreme events theory for the analysis of spontaneous epileptic brain activity is a relevant multidisciplinary problem. It allows deeper understanding of pathological brain functioning and unraveling mechanisms underlying the epileptic seizure emergence along with its predictability. The latter is...
[Epistemic Status: Fiction, no really, FICTION, I know you think that you can’t trust what the text says – Waluigi’s lesson, il n’y a pas de hors-texte, and all that, but no, really, this IS fiction, trust me breaux] Awakening the Traffic Jam A lot of information processing...