Littérature scientifique sur le sujet « Multivariate risk measure »
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Articles de revues sur le sujet "Multivariate risk measure"
Landsman, Zinoviy, et Tomer Shushi. « Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks ». Symmetry 13, no 4 (28 mars 2021) : 559. http://dx.doi.org/10.3390/sym13040559.
Texte intégralARARAT, ÇAĞIN, ANDREAS H. HAMEL et BIRGIT RUDLOFF. « SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ». International Journal of Theoretical and Applied Finance 20, no 05 (30 juillet 2017) : 1750026. http://dx.doi.org/10.1142/s0219024917500261.
Texte intégralFeinstein, Zachary, et Birgit Rudloff. « Time consistency for scalar multivariate risk measures ». Statistics & ; Risk Modeling 38, no 3-4 (1 juillet 2021) : 71–90. http://dx.doi.org/10.1515/strm-2019-0023.
Texte intégralHaier, Andreas, et Ilya Molchanov. « Multivariate risk measures in the non-convex setting ». Statistics & ; Risk Modeling 36, no 1-4 (1 décembre 2019) : 25–35. http://dx.doi.org/10.1515/strm-2019-0002.
Texte intégralFougeres, Anne-Laure, et Cecile Mercadier. « Risk Measures and Multivariate Extensions of Breiman's Theorem ». Journal of Applied Probability 49, no 2 (juin 2012) : 364–84. http://dx.doi.org/10.1239/jap/1339878792.
Texte intégralFougeres, Anne-Laure, et Cecile Mercadier. « Risk Measures and Multivariate Extensions of Breiman's Theorem ». Journal of Applied Probability 49, no 02 (juin 2012) : 364–84. http://dx.doi.org/10.1017/s0021900200009141.
Texte intégralWei, Linxiao, et Yijun Hu. « CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES : AN AXIOMATIC APPROACH ». Probability in the Engineering and Informational Sciences 34, no 2 (6 mars 2019) : 297–315. http://dx.doi.org/10.1017/s0269964819000032.
Texte intégralZuo, Baishuai, et Chuancun Yin. « Multivariate tail covariance risk measure for generalized skew-elliptical distributions ». Journal of Computational and Applied Mathematics 410 (août 2022) : 114210. http://dx.doi.org/10.1016/j.cam.2022.114210.
Texte intégralDi Bernardino, E., J. M. Fernández-Ponce, F. Palacios-Rodríguez et M. R. Rodríguez-Griñolo. « On multivariate extensions of the conditional Value-at-Risk measure ». Insurance : Mathematics and Economics 61 (mars 2015) : 1–16. http://dx.doi.org/10.1016/j.insmatheco.2014.11.006.
Texte intégralHürlimann, Werner. « Multivariate Fréchet copulas and conditional value-at-risk ». International Journal of Mathematics and Mathematical Sciences 2004, no 7 (2004) : 345–64. http://dx.doi.org/10.1155/s0161171204210158.
Texte intégralThèses sur le sujet "Multivariate risk measure"
DOLDI, ALESSANDRO. « EQUILIBRIUM, SYSTEMIC RISK MEASURES AND OPTIMAL TRANSPORT : A CONVEX DUALITY APPROACH ». Doctoral thesis, Università degli Studi di Milano, 2021. http://hdl.handle.net/2434/812668.
Texte intégralHua, Lei. « Multivariate extremal dependence and risk measures ». Thesis, University of British Columbia, 2012. http://hdl.handle.net/2429/42475.
Texte intégralTavin, Bertrand. « Trois essais en finance de marché ». Thesis, Paris 1, 2013. http://www.theses.fr/2013PA010029.
Texte intégralThis thesis is dedicated to the study of a market with several risky assets and options written on these assets. In a first essay, we express the implied distribution of an underlying asset price as a function of its options implied volatility smile. For the density, the obtained expression has the form of a log-normal density plus two adjustment terms. We then explain how to use these results and develop practical applications. In a first application we value a portfolio of digital options and in another application we fit a parametric distribution. In the second essay, we propose a twofold characterization of the absence of arbitrage opportunity in terms of copula functions. We then propose two detection methods. The first method relies on a particular property of Bernstein copulas. The second method, valid only in the case of a market with two risky assets, is based upon results on improved Fréchet-Hoeffding bounds in presence of additional information about the dependence. We also present results obtained with the proposed methods applied to empirical data. Finally, in the third essay, we develop an approach to hedge, with spread options, an exposure to dependence risk for a portfolio comprising two-asset options. The approach we propose is based on two parametric models of dependence that we introduce. These dependence models are copulas functions named Power Frank (PF) and Power Student's t (PST). The results obtained with the proposed approach are detailed in a numerical study
Hoffmann, Hannes [Verfasser], et Thilo [Akademischer Betreuer] Meyer-Brandis. « Multivariate conditional risk measures : with a view towards systemic risk in financial networks / Hannes Hoffmann ; Betreuer : Thilo Meyer-Brandis ». München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2017. http://d-nb.info/1137835222/34.
Texte intégralLi, Yuming. « Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models ». Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/26110.
Texte intégralBusiness, Sauder School of
Graduate
LOREGIAN, ANGELA. « Multivariate Lèvy models : estimation and asset allocation ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49727.
Texte intégralSaid, Khalil. « Mesures de risque multivariées et applications en science actuarielle ». Thesis, Lyon, 2016. http://www.theses.fr/2016LYSE1245.
Texte intégralThe entry into force since January 1st, 2016 of Solvency 2, the European regulatory reform of insurance industry, is a historic event that will radically change the practices in risk management. It is based on taking into account the own risk profile and the internal view of risk through the ability to use internal models for calculating solvency capital requirement and ORSA (Own Risk and Solvency Assessment) approach for internal risk management. It makes the mathematical modeling an essential tool for a successful regulatory exercise. The risk theory must allow to support this development by providing answers to practical problems, especially those related to the dependence modeling and the choice of risk measures. In the same context, this thesis presents a contribution to improving the management of insurance risks. In four chapters we present multivariate risk measures and their application to the allocation of solvency capital. The first part of this thesis is devoted to the introduction and study of a new family of multivariate elicitable risk measures that we will call multivariate expectiles. The first chapter presents these measures and explains the different construction approaches. The multivariate expectiles verify a set of coherence properties that we also discuss in this chapter before proposing a stochastic approximation tool of these risk measures. The performance of this method is insufficient in the asymptotic levels of the expectiles thresholds. That makes the theoretical analysis of the asymptotic behavior necessary. The asymptotic behavior of multivariate expectiles is then the subject of the second chapter of this part. It is studied in a multivariate regular variations framework, and some results are given in the case of equivalent marginal tails. We also study in the second chapter of the first part the asymptotic behavior of multivariate expectiles under previous assumptions in the presence of a perfect dependence, or in the case of asymptotic independence. Finally, we propose using extreme values statistics some estimators of the asymptotic expectile in these cases. The second part of the thesis is focused on the issue of solvency capital allocation in insurance. It is divided into two chapters; each chapter consists of a published paper. The first one presents an axiomatic characterization of the coherence of a capital allocation method in a general framework. Then it studies the coherence properties of an allocation approach based on the minimization of some multivariate risk indicators. The second paper is a probabilistic analysis of the behavior of this capital allocation method based on the nature of the marginal distributions of risks and the dependence structure. The asymptotic behavior of the optimal allocation is also studied and the impact of dependence is illustrated using some selected models and copulas. Faced to the significant presence of dependence between the various risks taken by insurance companies, a multivariate approach seems more appropriate to build responses to the various issues of risk management. This thesis is based on a multidimensional vision of risk and proposes some multivariate risk measures that can be applied to several actuarial issues of a multivariate nature
Chautru, Emilie. « Statistiques multivariées pour l'analyse du risque alimentaire ». Thesis, Paris, ENST, 2013. http://www.theses.fr/2013ENST0045/document.
Texte intégralAt a crossroads of economical, sociological, cultural and sanitary issues, dietary analysis is of major importance for public health institutes. When international trade facilitates the transportation of foodstuffs produced in very different environmental conditions, when conspicuous consumption encourages profitable strategies (GMO, pesticides, etc.), it is necessary to quantify the sanitary risks engendered by such economic behaviors. We are interested in the evaluation of chronic types of exposure (at a yearly scale) to food contaminants, the long-term toxicity of which is already well documented. Because dietary risk and benefit is not limited to the abuse or the avoidance of toxic substances, nutritional intakes are also considered. Our work is thus organized along three main lines of research. We first consider the statistical analysis of very high long-term types of exposure to one or more chemical elements present in the food, adopting approaches in keeping with extreme value theory. Then, we adapt classical techniques borrowed from the statistical learning field concerning minimum volume set estimation in order to identify dietary habits that realize a compromise between toxicological risk and nutritional benefit. Finally, we study the asymptotic properties of a number of statistics that can assess the characteristics of the distribution of individual exposure, which take into account the possible survey scheme from which the data originate
Kato, Fernando Hideki. « Análise de carteiras em tempo discreto ». Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-24022005-005812/.
Texte intégralIn this thesis, Markowitzs portfolio selection model will be extended by means of a discrete time analysis and more realistic hypotheses. A finite tensor product of Erlang densities will be used to approximate the multivariate probability density function of the single-period discrete returns of dependent assets. The Erlang is a particular case of the Gamma distribution. A finite mixture can generate multimodal asymmetric densities and the tensor product generalizes this concept to higher dimensions. Assuming that the multivariate density was independent and identically distributed (i.i.d.) in the past, the approximation can be calibrated with historical data using the maximum likelihood criterion. This is a large-scale optimization problem, but with a special structure. Assuming that this multivariate density will be i.i.d. in the future, then the density of the discrete returns of a portfolio of assets with nonnegative weights will be a finite mixture of Erlang densities. The risk will be calculated with the Downside Risk measure, which is convex for certain parameters, is not based on quantiles, does not cause risk underestimation and makes the single and multiperiod optimization problems convex. The discrete return is a multiplicative random variable along the time. The multiperiod distribution of the discrete returns of a sequence of T portfolios will be a finite mixture of Meijer G distributions. After a change of the distribution to the average compound, it is possible to calculate the risk and the return, which will lead to the multiperiod efficient frontier, where each point represents one or more ordered sequences of T portfolios. The portfolios of each sequence must be calculated from the future to the present, keeping the expected return at the desired level, which can be a function of time. A dynamic asset allocation strategy is to redo the calculations at each period, using new available information. If the time horizon tends to infinite, then the efficient frontier, in the average compound probability measure, will tend to only one point, given by the Kellys portfolio, whatever the risk measure is. To select one among several portfolio optimization models, it is necessary to compare their relative performances. The efficient frontier of each model must be plotted in its respective graph. As the weights of the assets of the portfolios on these curves are known, it is possible to plot all curves in the same graph. For a given expected return, the efficient portfolios of the models can be calculated, and the realized returns and their differences along a backtest can be compared.
Omidi, Firouzi Hassan. « On the design of customized risk measures in insurance, the problem of capital allocation and the theory of fluctuations for Lévy processes ». Thèse, 2014. http://hdl.handle.net/1866/11669.
Texte intégralLivres sur le sujet "Multivariate risk measure"
van der Hoeven, Frank, et Alexander Wandl. Hotterdam : How space is making Rotterdam warmer, how this affects the health of its inhabitants, and what can be done about it. TU Delft Open, 2015. http://dx.doi.org/10.47982/bookrxiv.1.
Texte intégralChapitres de livres sur le sujet "Multivariate risk measure"
Guégan, Dominique, et Bertrand K. Hassani. « Extensions for Risk Measures : Univariate and Multivariate Approaches ». Dans Risk Measurement, 115–42. Cham : Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-02680-6_5.
Texte intégralCardin, Marta, et Elisa Pagani. « Some classes of multivariate risk measures ». Dans Mathematical and Statistical Methods for Actuarial Sciences and Finance, 63–73. Milano : Springer Milan, 2010. http://dx.doi.org/10.1007/978-88-470-1481-7_7.
Texte intégralFeinstein, Zachary, et Birgit Rudloff. « A Comparison of Techniques for Dynamic Multivariate Risk Measures ». Dans Set Optimization and Applications - The State of the Art, 3–41. Berlin, Heidelberg : Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-48670-2_1.
Texte intégralLee, Sharon X., et Geoffrey J. McLachlan. « Risk Measures Based on Multivariate Skew Normal and Skew t-Mixture Models ». Dans Asymmetric Dependence in Finance, 152–68. Chichester, UK : John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch7.
Texte intégralSelman Çolak, Mehmet, İbrahim Ethem Güney et Yavuz Selim Hacıhasanoğlu. « The Relationship between Economic Uncertainty and Firms’ Balance Sheet Strength ». Dans Banking and Finance. IntechOpen, 2020. http://dx.doi.org/10.5772/intechopen.91860.
Texte intégralLópez Pérez, Jesús-Fabian, Ana Elena De la Mora et Rosalba Trevino Reyes. « Clustering for Innovative Business Model Design for Products and Services ». Dans Handbook of Research on Industrial Applications for Improved Supply Chain Performance, 125–48. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0202-0.ch006.
Texte intégral« Repeated Measures ». Dans Multivariate Survival Analysis and Competing Risks, 163–84. Chapman and Hall/CRC, 2012. http://dx.doi.org/10.1201/b11893-14.
Texte intégralLi, Yuming, et William T. Ziemba. « Univariate and multivariate measures of risk aversion and risk premiums ». Dans Handbook of the Fundamentals of Financial Decision Making, 333–64. WORLD SCIENTIFIC, 2013. http://dx.doi.org/10.1142/9789814417358_0020.
Texte intégral« Multivariate Static Hedge Designs Using Measure-Distorted Valuations ». Dans Nonlinear Valuation and Non-Gaussian Risks in Finance, 135–49. Cambridge University Press, 2022. http://dx.doi.org/10.1017/9781108993876.012.
Texte intégralHitaj, Ermal, Chris Lane, Paulomi Mehta et Rima Turk. « Tailoring IMF-Supported Programs to Fragile and Conflict-Affected States’ Needs ». Dans Macroeconomic Policy in Fragile States, 548–67. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780198853091.003.0018.
Texte intégralActes de conférences sur le sujet "Multivariate risk measure"
Malinovskii, V. K. « Risk measures and their application in the regulation of insurance and financial markets ». Dans X-th International School-Seminar "Multivariate statistical analysis, econometrics and simulation of real processes". CEMI RAS, 2021. http://dx.doi.org/10.33276/978-5-8211-0797-8-79-80.
Texte intégralLlanes, Jose Damian, Alejo Viñales et Juan Juri. « Assisted 3D Model Construction and Facies Propagation in Golfo San Jorge Basin Reservoirs for Modelling EOR ». Dans SPE Improved Oil Recovery Conference. SPE, 2022. http://dx.doi.org/10.2118/209400-ms.
Texte intégralSaczalski, Kenneth J., Mark N. West, Todd K. Saczalski, Luis Frausto et Mark C. Pozzi. « Test Analysis of Youth and Adult Football Helmet Head Injury Risk Resulting From Repeat Impacts in High Humidity and Temperature ». Dans ASME 2017 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/imece2017-70754.
Texte intégralYakti, Fatima alzahra Hasan, Hissa Al-Mannai, Dana Saad, Abdelhamid Kerkadi, Grace Attieh et Hiba Bawadi. « Clustering of lifestyle risk factors among Algerian adolescents : Comparison between urban and rural area ». Dans Qatar University Annual Research Forum & Exhibition. Qatar University Press, 2021. http://dx.doi.org/10.29117/quarfe.2021.0140.
Texte intégralBitetto, Alessandro, Stefano Filomeni et Michele Modina. « Can unlisted firms benefit from market information ? A data-driven approach ». Dans CARMA 2022 - 4th International Conference on Advanced Research Methods and Analytics. valencia : Universitat Politècnica de València, 2022. http://dx.doi.org/10.4995/carma2022.2022.15045.
Texte intégralAl Ghazali, Kateba, Sana El Tayeb, Ayesha Musleh, Tamara Al-Abdi et Zumin Shi. « Serum Magnesium and Cognitive Function among Qatari Adult ». Dans Qatar University Annual Research Forum & Exhibition. Qatar University Press, 2020. http://dx.doi.org/10.29117/quarfe.2020.0207.
Texte intégralKorneeva, Yana, et Natalia Simonova. « The Functional State Assessment as the Psychological Safety Marker of the Offshore Production Platform Workers ». Dans Offshore Technology Conference. OTC, 2021. http://dx.doi.org/10.4043/31262-ms.
Texte intégralAlMukdad, Sawsan Ibrahim, Hazem Elewa et Daoud Al-Badriyeh. « Economic Evaluation of CYP2C19 Genotype-Guided Antiplatelet Therapy Compared to Universal use of Ticagrelor or Clopidogrel in Qatar ». Dans Qatar University Annual Research Forum & Exhibition. Qatar University Press, 2020. http://dx.doi.org/10.29117/quarfe.2020.0170.
Texte intégralSchwarz, Aubriana, Patricia Goodhines, Amelia Wedel, Lisa LaRowe et Aesoon Park. « Sleep-Related Cannabis Expectancies Questionnaire (SR-CEQ) : Replication and Psychometric Validation among College Students using Cannabis for Sleep Aid ». Dans 2021 Virtual Scientific Meeting of the Research Society on Marijuana. Research Society on Marijuana, 2022. http://dx.doi.org/10.26828/cannabis.2022.01.000.45.
Texte intégralAlsaeedi, Ayesha, Mohamed Mubarak Albadi, Ibrahim Eltony, Noora Al Mahri, Reem Alhammadi, Ammar Al-Ameri, Zeeshan Ahmad et al. « Novel Direct Multiphase Real Time Wellhead Measurement Using Wet-Gas Coriolis Technology in a Giant Gas Field- Case Study ». Dans ADIPEC. SPE, 2022. http://dx.doi.org/10.2118/211236-ms.
Texte intégralRapports d'organisations sur le sujet "Multivariate risk measure"
Patston, L. L. M., A. N. Henry, M. McEwen, J. Mannion et L. A. Ewens-Volynkina. Thinking While Standing : An exploratory study on the effect of standing on cognitive performance. Unitec ePress, septembre 2017. http://dx.doi.org/10.34074/ocds.32017.
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