In this paper, the utility of credibilistic critical values in crisp conversion of fuzzy data sets is considered. Conversion of this type becomes essential mainly when clustering of fuzzy data sets is carried out. In this paper performance of two popular clustering algorithms namely Fuzzy c–means and Fuzzy c–medoids algorithms are evaluated under credibilistic critical value crisp conversion is...

South Africa assumes a significant position in the insurance landscape of Africa. The present research based upon qualitative and quantitative analysis, shows that it shows the characteristics of a Complex Adaptive System. In addition, a statistical analysis of risk measures through Value at risk and Conditional tail expectation is carried out to show how an individual insurance company copes u...

THE JOURNAL OF DERIVATIVES 1 The notion of extreme movements in asset prices is implicit in current risk management practices. Capital adequacy assumes a threshold that classifies observed changes in market risk factors either as extreme or ordinary. A probability is first chosen to measure the “extremeness” of events that may affect a particular portfolio. This probability then determines the ...

Abstract. We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and scale mixtures of a non-negative random vector with the mixing distribution having slowly ...

— This paper defends the wisdom of not considering the Digital Economy to be one homogeneous sector. Our hypothesis is that it is best to consider it the result of adding four different subsectors. We test whether indeed the economic and financial performance of a portfolio of listed companies in each of the four subsectors presents relevant differences. We use the value at risk measure to esti...

In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper orthant tail value-at-risk can b...