The financial life often requires the calculation of some sort of expectations: expected utility, expected payoffs, expected losses, which are expressed as certain transforms of some random variables. We shall provide a method, based on the copula concept, to calculate the probabilities that these transforms belong to a certain neighbourhood of their expected values. First, we recall briefly th...

Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma Greeks, when the joint log-ret...

In this paper, a special class of redundancy optimization problem with fuzzy random variables is presented. In this model, fuzzy random lifetimes are considered as basic parameters and the Er-expected of system lifetime is used as a major type of system performance. Then a redundancy optimization problem is formulated as a binary integer programming model. Furthermore, illustrative numerical ex...

Article history: Received 26 September 2009 Received in revised form 22 March 2010 Accepted 6 April 2010 Available online 13 April 2010 In this paper, I analyze the predictability of returns on value and growth portfolios and examine time variation of the expected value premium. As a primary tool, I use the filtering technique, which accounts for time variation in expected cash flows and explic...

Computer-based prompting and reminder systems have been shown to be highly effective in increasing rates of preventive services delivery. However, there are many more recommended preventive services than can be practically included in a typical clinic visit. Therefore prioritization of preventive services prompts is necessary. We describe two approaches to prioritizing preventive services promp...

Contextual preference reversals occur when a preference for one option over another is reversed by the addition of further options. It has been argued that the occurrence of preference reversals in human behavior shows that people violate the axioms of rational choice and that people are not, therefore, expected value maximizers. In contrast, we demonstrate that if a person is only able to make...

In this paper we discuss the stochastic facility location model in which the distances between the facility and demand points are rectangular and each weight is normlilly distributed independent random variable with unknown mean and known variance. We are interested in rmding the value of information. In general, perfect information is not attainable, but sample information may be obtained. Thu...

Many decision models can be formulated as continuous minimax problems. The minimax framework injects robustness into the model. It is a tool that one can use to perform worst–case analysis, and it can provide considerable insight into the decision process. It is frequently used alongside other methods such as expected value optimization in order to identify extreme scenarios and strategies that...

The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company’s total risk to be least under the expected value principle. When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts. Further, the explicit...

â â â  given companies’ dynamic responses to expected exchange rate changes, this article improves on current methods of measuring exposure to foreign exchange rate changes by breaking down the spot exchange rate changes into expected changes and unexpected changes. the currency risk exposure coefficients resulting from an empirical analysis of shanghai stock exchange a share listed companies...