发布求助
文献互助 智能选刊 最新文献

Statistics & Risk Modeling最新文献

筛选
英文 中文
On the shortfall risk control: A refinement of the quantile hedging method 短缺风险控制:分位数套期保值方法的改进
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-02-15 DOI: 10.1515/strm-2014-1169
M. Barski
{"title":"On the shortfall risk control: A refinement of the quantile hedging method","authors":"M. Barski","doi":"10.1515/strm-2014-1169","DOIUrl":"https://doi.org/10.1515/strm-2014-1169","url":null,"abstract":"Abstract The issue of constructing a risk minimizing hedge under an additional almost-surely type constraint on the shortfall profile is examined. Several classical risk minimizing problems are adapted to the new setting and solved. In particular, the bankruptcy threat of optimal strategies appearing in the classical risk minimizing setting is ruled out. The existence and concrete forms of optimal strategies in a general semimartingale market model with the use of conditional statistical tests are proven. The quantile hedging method applied in [Finance Stoch. 3 (1999), 251–273; Finance Stoch. 4 (2000), 117–146] as well as the classical Neyman–Pearson lemma are generalized. Optimal hedging strategies with shortfall constraints in the Black–Scholes and exponential Poisson model are explicitly determined.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2014-1169","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67313130","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A note on nonparametric estimation of bivariate tail dependence 关于二元尾相关的非参数估计的一个注记
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-28 DOI: 10.1515/strm-2013-1143
Axel Bücher
{"title":"A note on nonparametric estimation of bivariate tail dependence","authors":"Axel Bücher","doi":"10.1515/strm-2013-1143","DOIUrl":"https://doi.org/10.1515/strm-2013-1143","url":null,"abstract":"Abstract Nonparametric estimation of tail dependence can be based on a standardization of the marginals if their cumulative distribution functions are known. In this paper it is shown to be asymptotically more efficient if the additional knowledge of the marginals is ignored and estimators are based on ranks. The discrepancy between the two estimators is shown to be substantial for the popular Clayton and Gumbel–Hougaard models. A brief simulation study indicates that the asymptotic conclusions transfer to finite samples.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2013-1143","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67312545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Asymptotic results for the regression function estimate on continuous time stationary and ergodic data 连续时间平稳和遍历数据上回归函数估计的渐近结果
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-28 DOI: 10.1515/strm-2012-1134
S. Didi, D. Louani
{"title":"Asymptotic results for the regression function estimate on continuous time stationary and ergodic data","authors":"S. Didi, D. Louani","doi":"10.1515/strm-2012-1134","DOIUrl":"https://doi.org/10.1515/strm-2012-1134","url":null,"abstract":"Abstract This paper is devoted to the study of asymptotic properties of the regression function kernel estimate in the setting of continuous time stationary and ergodic data. More precisely, considering the Nadaraya–Watson type estimator, say m̂T(x), of the l-indexed regression function m(x) =𝔼 (l(Y)|X = x) built upon continuous time stationary and ergodic data (Xt, Yt)0≤t≤T, we establish its pointwise and uniform, over a dilative compact set, convergences with rates. Notice that the ergodic setting covers and completes various situations as compared to the mixing case and stands as more convenient to use in practice.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2012-1134","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67311932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Law-invariant risk measures: Extension properties and qualitative robustness 不变风险度量:可拓性和定性稳健性
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-14 DOI: 10.1515/strm-2014-0002
Pablo Koch-Medina, Cosimo Munari
{"title":"Law-invariant risk measures: Extension properties and qualitative robustness","authors":"Pablo Koch-Medina, Cosimo Munari","doi":"10.1515/strm-2014-0002","DOIUrl":"https://doi.org/10.1515/strm-2014-0002","url":null,"abstract":"Abstract We characterize when a convex risk measure associated to a law-invariant acceptance set in L∞ can be extended to Lp, 1≤p<∞$1le p<infty $ , preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2014-0002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67312956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Quasi-Hadamard differentiability of general risk functionals and its application 一般风险泛函的拟hadamard可微性及其应用
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-14 DOI: 10.1515/strm-2014-1174
Volker Krätschmer, A. Schied, Henryk Zähle
{"title":"Quasi-Hadamard differentiability of general risk functionals and its application","authors":"Volker Krätschmer, A. Schied, Henryk Zähle","doi":"10.1515/strm-2014-1174","DOIUrl":"https://doi.org/10.1515/strm-2014-1174","url":null,"abstract":"Abstract We apply a suitable modification of the functional delta method to statistical functionals that arise from law-invariant coherent risk measures. To this end we establish differentiability of the statistical functional in a relaxed Hadamard sense, namely with respect to a suitably chosen norm and in the directions of a specifically chosen “tangent space”. We show that this notion of quasi-Hadamard differentiability yields both strong laws and limit theorems for the asymptotic distribution of the plug-in estimators. Our results can be regarded as a contribution to the statistics and numerics of risk measurement and as a case study for possible refinements of the functional delta method through fine-tuning the underlying notion of differentiability.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2014-1174","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67313208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Constrained inference in multiple regression with structural changes 结构变化的多元回归约束推理
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-01 DOI: 10.1515/strm-2012-1154
Fuqi Chen, S. Nkurunziza
{"title":"Constrained inference in multiple regression with structural changes","authors":"Fuqi Chen, S. Nkurunziza","doi":"10.1515/strm-2012-1154","DOIUrl":"https://doi.org/10.1515/strm-2012-1154","url":null,"abstract":"In this paper, we study an inference problem for the regression coefcients in some multivariate regression models with multiple change-points occurring at unknown times, when the regression coe cients may satisfy some restrictions. The hypothesized restriction is more general than that given in recent literature. Under a weaker assumption than that given in recent literature, we derive the joint asymptotic normality of the restricted and unrestricted estimators. Finally, we construct a test for the hypothesized restriction and derive its asymptotic power.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2012-1154","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67312449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Spatial risk measures and their local specification: The locally law-invariant case 空间风险测度及其局部规范:局部不变情况
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-01 DOI: 10.1515/strm-2013-5001
H. Föllmer
{"title":"Spatial risk measures and their local specification: The locally law-invariant case","authors":"H. Föllmer","doi":"10.1515/strm-2013-5001","DOIUrl":"https://doi.org/10.1515/strm-2013-5001","url":null,"abstract":"Abstract We consider convex risk measures in a spatial setting, where the outcome of a financial position depends on the states at different nodes of a network. In analogy to the theory of Gibbs measures in Statistical Mechanics, we discuss the local specification of a global risk measure in terms of conditional local risk measures for the single nodes of the network, given their environment. Under a condition of local law invariance, we show that a consistent local specification must be of entropic form. Even in that case, a global risk measure may not be uniquely determined by the local specification, and this can be seen as a source of “systemic risk”, in analogy to the appearance of phase transitions in the theory of Gibbs measures","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2013-5001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67313397","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Stochastic dominance with respect to a capacity and risk measures 关于能力和风险度量的随机优势
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-01 DOI: 10.1515/strm-2014-1167
Miryana Grigorova
{"title":"Stochastic dominance with respect to a capacity and risk measures","authors":"Miryana Grigorova","doi":"10.1515/strm-2014-1167","DOIUrl":"https://doi.org/10.1515/strm-2014-1167","url":null,"abstract":"Abstract In our previous work, we have extended the classical notion of increasing convex stochastic dominance relation with respect to a probability to the more general case of a normalized monotone (but not necessarily additive) set function, also called a capacity. In the present paper, we pursue that work by studying the set of monetary risk measures (defined on the space of bounded real-valued measurable functions) satisfying the properties of comonotonic additivity and consistency with respect to the generalized stochastic dominance relation. Under suitable assumptions on the underlying capacity space, we characterize that class of risk measures in terms of Choquet integrals with respect to a distorted capacity whose distortion function is concave. Kusuoka-type characterizations are also established. A generalization to the case of a capacity of the Tail Value at Risk is provided as an example. It is also shown that some well-known results about Choquet integrals with respect to a distorted probability do not necessarily hold true in the more general case of a distorted capacity.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2014-1167","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67312964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Optimal risk allocation for convex risk functionals in general risk domains 一般风险域凸风险泛函的最优风险分配
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-01 DOI: 10.1515/strm-2012-1156
S. Kiesel, L. Rüschendorf
{"title":"Optimal risk allocation for convex risk functionals in general risk domains","authors":"S. Kiesel, L. Rüschendorf","doi":"10.1515/strm-2012-1156","DOIUrl":"https://doi.org/10.1515/strm-2012-1156","url":null,"abstract":"Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined on products of real Banach spaces as risk domains. This generality includes in particular the classical case of Lp risks but also allows to describe the influence of dependence in the risk allocation problem. We characterize optimal allocations and complete known existence and uniqueness results from the literature. We discuss in detail an application to expected risk functionals. This case can be dealt with by the Banach space approach applied to Orlicz hearts associated to the risk functionals. We give a detailed discussion of the necessary continuity and differentiability properties. Based on ordering results for Orlicz hearts we obtain extensions of the optimal allocation results to different Orlicz hearts as domain of risk functionals and establish a general form of the classical Borch theorem. In some numerical examples, optimal redistributions are determined for the expected risk case and the precision of the numerical calculation is checked.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2012-1156","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67312659","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Change point test for tail index of scale-shifted processes 尺度转移过程尾指数的变点检验
IF 1.5
Statistics & Risk Modeling Pub Date : 2014-01-01 DOI: 10.1515/strm-2012-1147
Moosup Kim, Sangyeol Lee
{"title":"Change point test for tail index of scale-shifted processes","authors":"Moosup Kim, Sangyeol Lee","doi":"10.1515/strm-2012-1147","DOIUrl":"https://doi.org/10.1515/strm-2012-1147","url":null,"abstract":"In this paper, we study the change point test for the tail index of scaleshifted processes. To this task, we propose two tests. The rst is designed via examining the discrepancy between the two Hill estimators obtained from the observations before and after a preliminary change point estimate. The second is a modi ed recursive test which uses scale-adjusted observations. Both methods produce a tail index estimator that outperforms the Hill estimator. A simulation study and real data analysis are provided for illustration.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2012-1147","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67312717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信