Extreme negative dependence and risk aggregation
نویسندگان
چکیده
منابع مشابه
Extreme negative dependence and risk aggregation
We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. An END sequence has a partial sum which, subtracted by its mean, does not diverge as the number of random variables goes to infinity. We show that an END sequence always exists for any given marginal distributions with a finite mean and we provide a probabi...
متن کاملQuantitative Models for Operational Risk: Extremes, Dependence and Aggregation
Due to the new regulatory guidelines known as Basel II for banking and Solvency 2 for insurance, the financial industry is looking for qualitative approaches to and quantitative models for operational risk. Whereas a full quantitative approach may never be achieved, in this paper we present some techniques from probability and statistics which no doubt will prove useful in any quantitative mode...
متن کاملReducing model risk via positive and negative dependence assumptions
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random variables with fixed marginal distributions under an additional positive dependence structure. We show that assuming positive dependence information in our model leads to reduced dependence uncertainty spreads compared to the casewhere onlymarginals information is known. Inmore detail, we show t...
متن کاملExtreme State Aggregation beyond MDPs
We consider a Reinforcement Learning setup where an agent interacts with an environment in observation-reward-action cycles without any (esp. MDP) assumptions on the environment. State aggregation and more generally feature reinforcement learning is concerned with mapping histories/raw-states to reduced/aggregated states. The idea behind both is that the resulting reduced process (approximately...
متن کاملExpert Aggregation with Dependence
The measure for expert dependence proposed by Jouini and Clemen (clemen) is implemented for expert judgement data gathered at the T.U. Delft. Experts show less dependence than might have been supposed, though more sensitive measures might reveal more. Clemen’s copula for aggregation is implemented and performance is compared with performance-based combinations for two illustrative cases.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2015
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2015.01.006