syntax Concrete syntax TConst c, where c = [+ j ]0; 1; 2; : : : TRef f , where f = F0;F1; : : : TName x , where x = proto;a;b; : : : TSelf self TVar same as TName TFunc func(x) t , where t = some term TApp tf ta TSeq t1; t2 TCall f :x(t) TAssign f .x := t TOp ta op tb , where op = + j j j : : : TIf if tcond then ttrue else tfalse TOptput print t TFork fork t TGo go p, where p = a place name TCl...

We review the class of time-varying autoregressive (TVAR) models and a range of related recent developments of Bayesian time series modelling. Beginning with TVAR models in a Bayesian dynamic linear modelling framework, we review aspects of latent structure analysis, including time-domain decomposition methods that provide inferences on the structure underlying non-stationary time series, and t...

We present an algorithm that determines Sequential Tail Value at Risk (STVaR) for path-independent payoffs in a binomial tree. STVaR is a dynamic version of Tail-Valueat-Risk (TVaR) characterized by the property that risk levels at any moment must be in the range of risk levels later on. The algorithm consists of a finite sequence of backward recursions that is guaranteed to arrive at the solut...

The mean-variance model proposed by Markowitz has received greatly acceptance as a practical methodology to manage portfolio selection, and has been widely extended in a variety of literatures. The aim of this paper is to extend the mean-variance model in uncertain decision systems. We present a new mean-TVaR model for portfolio selection when the returns of securities are described as uncertai...

Risk management helps the financial industry to manage and estimate risks that may occur by using risk measures. Financial series data mostly have a heavy tail distribution which causes probability of extreme values occur. To overcome these values, it is necessary apply mathematical model in calculating estimates combined with Extreme Value Theory approach. The Adjusted-TVaR measure modificatio...

Because of regulation projects from control organizations such as the European solvency II reform and recent economic events, insurance companies need to consolidate their capital reserve with coherent amounts allocated to the whole company and to each line of business. The present study considers an insurance portfolio consisting of several lines of risk which are linked by a copula and aims t...

In this paper, a method to detect unknown signals ina non-stationaryenvironmentis proposed. In addition, due to the sensor, the data are corrupted by an additive measurement stationary zero-mean white noise.Our approach, which can be useful in a wide range of situations such as the analysis of the object passing by, anomaly detection and digital communications, operates in three steps.Firstly, ...

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on VaR may be underestimated TVaR allows us to account better for catastrophic losses. In this paper, we propose a new family of flexible measures denoted by LVaR, which is weighted combination TVaR. Based deal with optima...