1,721,077 research outputs found
Robust assessment of life insurance products
Full text linkIn this paper we propose a robust assessment for the premium of a standard life insurance
contract with respect to the uncertainty on the estimated residual lifetime distribution function.
Specifically, we provide a method to derive the range of values that the premium of a given contract can attain when considering all residual lifetime distribution functions that satisfy an L^2 distance constraint to a reference distribution function. Furthermore, we show that the
L^2 distance constraint can be used as flexible starting point to include further information
regarding future mortality
When do two- or three-fund separation theorems hold?
No full textWe show that when asset returns satisfy a location-scale property (possibly conditionally as e.g. for a multivariate generalized hyperbolic distribution) and the investor has law-invariant and increasing preferences, the optimal investment portfolio always exhibits two-fund or three-fund separation. As a consequence, we recover many of the three-fund (and two-fund) separation theorems that have been derived in the literature under very specific assumptions on preferences or distributions. These are thus merely special cases of the general characterization result for optimal portfolios that we provide
The impact of correlation on (Range) Value-at-Risk
No full textThe assessment of portfolio risk is often explicitly (e.g. the Basel III square
root formula) or implicitly (e.g. credit risk models) driven by the marginal
distributions of the risky components and their correlations. We assess the
extent by which such practice is prone to model error. In the case of two
risks, we investigate under which conditions the unconstrained Value-at-Risk (VaR) bounds (which are the maximum and minimum VaR for the sum S when only the marginal distributions of the Xi are known) coincide
with the (constrained) VaR bounds when in addition one has information
on some measure of dependence (e.g. Pearson correlation or Spearman’s
rho). We find that both bounds coincide if the measure of dependence takes
value in an interval that we explicitly determine. For probability levels used
in risk management practice, we show that using correlation information
has typically no effect on the highest possible VaR whereas it can affect the
lowest possible VaR. In the case of a general sum of two or more risks, we derive Range Value-at-Risk (RVaR) bounds under an average correlation constraint
and we show they are best-possible in the case of a sum of three or more standard uniformly distributed risks
The Vine Philosopher
Full text linkRoger Cooke received his PhD (1974) from Yale University in Mathematics and Philosophy. From 1975-2005 he worked in the Netherlands, rst as assistant professor in Logic and Philosophy of Science at the University of Amsterdam, and later as professor of Applied Decision Theory in the Department of Mathematics at the Delft University of Technology. In 2005 he moved back to the USA as senior fellow at Resources for the Future. In 2006-2008 he supervised the development of non-parametric continuous-discrete Bayesian Belief Nets for the Dutch Ministry of Transport. Subsequent development was under contract with Shell, AIRBUS, and the National Institute for Aerospace. In 2008 he was elected fellow of the Society for Risk Analysis. In 2010 he was named lead author in the fth assessment of the Intergovernmental Panel on Climate Change for the chapter on Risk and Uncertainty. In 2011 he received the Lifetime Distinguished Achievement Award from the Society for Risk Analysis. He currently works on uncertainty quanti cation in con- ceptual design for AIRBUS and on value of information of Earth Observation Missions for NASA Langley
Stat Trek. An interview with Christian Genest
Full text linkChristian Genest is Professor and Canada Research Chair in Stochastic Dependence Modeling at McGill University, Montréal, Canada. He studied mathematics and statistics at the Université du Québec à Chicoutimi (BSpSc, 1974), the Université de Montréal (MSc, 1978), and The University of British Columbia (PhD, 1983). Before joining McGill in 2010, he held academic posts at Carnegie Mellon University (1983–84), the University of Waterloo (1984–87), and Université Laval (1987– 2010). Over the years, he also held visiting positions in Belgium, France, Germany, and Switzerland. Christian’s primary research focus lies in multivariate analysis, nonparametric statistics, and extreme-value theory. He also collaborates regularly with researchers in insurance, nance, and hydrology. He has published extensively and earned various distinctions for his seminal and widely cited work in dependence modeling. In particular, he received the Statistical Society of Canada Gold Medal for Research in 2011 and was elected a Fellow of the Royal Society of Canada in 2015. He has also served the profession in various capacities, e.g., as Director of the Institut des sciences mathématiques du Québec, President of the Statistical Society of Canada, and Editor-in- Chief of The Canadian Journal of Statistics (1998–2000). He is the current Editor-in-Chief of the Journal of Multivariate Analysis
My introduction to copulas
Full text linkRoger Nelsen is Professor Emeritus of Mathematics at Lewis & Clark College in Portland, Oregon, USA. He studied mathematics at DePauw University (BA, 1964) and Duke University (PhD, 1969). Roger joined the faculty at Lewis & Clark in the fall of 1969, and retired in 2009. Prior to Lewis & Clark, Roger spent a year with the Biostatistics Unit of the Centre International de Recherche sur le Cancer in Lyon, France. He has had visiting appointments at the University of Massachusetts in Amherst and Mount Holyoke College in South Hadley, Massachusetts. In addition to his mono- graph An Introduction to Copulas, Roger has authored or co-authored eleven books published by the Mathematical Association of America. He has served on the editorial boards of two MAA journals and several of their book series
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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