Zobrazeno 1 - 10
of 22
pro vyhledávání: '"401117 Weinbau"'
Autor:
Tobias Fissler, Johanna F. Ziegel
Publikováno v:
Fissler, Tobias; Ziegel, Johanna F. (2021). On the elicitability of Range Value at Risk. Statistics & risk modeling, 38(1-2), pp. 25-46. De Gruyter 10.1515/strm-2020-0037
The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES). Range value at risk (RVaR) is a natural interpolation between VaR and ES, constituting a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0bffdac981a87fe3a298e31baacc14d
https://doi.org/10.1515/strm-2020-0037
https://doi.org/10.1515/strm-2020-0037
Publikováno v:
Finance and Stochastics. 25(1):133-165
Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::1779aa5dfd50d1400d30c18b0bfaa782
https://research.wu.ac.at/de/publications/9d205128-c903-410a-9343-4f966d837377
https://research.wu.ac.at/de/publications/9d205128-c903-410a-9343-4f966d837377
We propose a holistic framework for constructing sensitivity measures for any elicitable functional T of a response variable. The sensitivity measures, termed score-based sensitivities, are constructed via scoring functions that are (strictly) consis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::2cf6c36e01bcebe7159f608f3894847f
https://doi.org/10.48550/arXiv.2203.00460
https://doi.org/10.48550/arXiv.2203.00460
One of the main tasks of actuaries and data scientists is to build good predictive models for certain phenomena such as the claim size or the number of claims in insurance. These models ideally exploit given feature information to enhance the accurac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::bac97cd18e2a39dddcbd9a449b7a3a73
https://research.wu.ac.at/de/publications/03ca7f4b-40bc-4b87-9a2c-b8247477b565
https://research.wu.ac.at/de/publications/03ca7f4b-40bc-4b87-9a2c-b8247477b565
Backtesting risk measure forecasts requires identifiability (for model calibration and validation) and elicitability (for model comparison). We show that the three widely-used systemic risk measures conditional value-at-risk (CoVaR), conditional expe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::12ad416ebad2db7daedfe5f06e423b05
https://research.wu.ac.at/de/publications/eb8c6696-3609-4d64-94f8-a2d1a31f4686
https://research.wu.ac.at/de/publications/eb8c6696-3609-4d64-94f8-a2d1a31f4686
A main difficulty in actuarial claim size modeling is that there is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body and the tail of the data. In particular, covariates may have different
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::ff78593ef09478ae6ae30b87aa8342ac
https://research.wu.ac.at/de/publications/c9cba07c-c510-4bec-af15-55702fa7597b
https://research.wu.ac.at/de/publications/c9cba07c-c510-4bec-af15-55702fa7597b
Publikováno v:
European Actuarial Journal
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catast
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::132ed8d8eedd7ab03beeb82adfdc5cd3
https://doi.org/10.1007/s13385-017-0154-2
https://doi.org/10.1007/s13385-017-0154-2
Publikováno v:
Internationale Mathematische Nachrichten. 235:1-16
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::d190d36acc87df408d317e6d51c5f50d
https://research.wu.ac.at/de/publications/7ac1286d-b2fe-48ea-ac4c-7ff0bd797625
https://research.wu.ac.at/de/publications/7ac1286d-b2fe-48ea-ac4c-7ff0bd797625
Autor:
Anton A. Shardin, Michaela Szölgyenyi
Publikováno v:
International Journal of Theoretical and Applied Finance. 19(4):1-27
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage manager and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e256903bd6d310622a1ecdd99bb58d2
https://research.wu.ac.at/de/publications/7843de86-37c2-4aba-a72d-59f65dc33f75
https://research.wu.ac.at/de/publications/7843de86-37c2-4aba-a72d-59f65dc33f75
Autor:
Gunther Leobacher, Michaela Szölgyenyi
Publikováno v:
BIT Numerical Mathematics. 56:151-162
In this paper we introduce a transformation technique, which can on the one hand be used to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient. One the other hand we present a numerical method based on transformin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::261f5eca06e2de9498189716a37c3743
https://doi.org/10.1007/s10543-015-0549-x
https://doi.org/10.1007/s10543-015-0549-x