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Harmonic analysis in value at risk calculations.

Claudio Albanese, Luis Seco (2001)

Revista Matemática Iberoamericana

Value at Risk is a measure of risk exposure of a portfolio and is defined as the maximum possible loss in a certain time frame, typically 1-20 days, and within a certain confidence, typically 95%. Full valuation of a portfolio under a large number of scenarios is a lengthy process. To speed it up, one can make use of the total delta vector and the total gamma matrix of a portfolio and compute a Gaussian integral over a region bounded by a quadric. We use methods from harmonic analysis to find approximate...

Hazard rate model and statistical analysis of a compound point process

Petr Volf (2005)

Kybernetika

A stochastic process cumulating random increments at random moments is studied. We model it as a two-dimensional random point process and study advantages of such an approach. First, a rather general model allowing for the dependence of both components mutually as well as on covariates is formulated, then the case where the increments depend on time is analyzed with the aid of the multiplicative hazard regression model. Special attention is devoted to the problem of prediction of process behaviour....

Heavy tailed durations of regional rainfall

Harry Pavlopoulos, Jan Picek, Jana Jurečková (2008)

Applications of Mathematics

Durations of rain events and drought events over a given region provide important information about the water resources of the region. Of particular interest is the shape of upper tails of the probability distributions of such durations. Recent research suggests that the underlying probability distributions of such durations have heavy tails of hyperbolic type, across a wide range of spatial scales from 2 km to 120 km. These findings are based on radar measurements of spatially averaged rain rate...

Hierarchical text categorization using fuzzy relational thesaurus

Domonkos Tikk, Jae Dong Yang, Sun Lee Bang (2003)

Kybernetika

Text categorization is the classification to assign a text document to an appropriate category in a predefined set of categories. We present a new approach for the text categorization by means of Fuzzy Relational Thesaurus (FRT). FRT is a multilevel category system that stores and maintains adaptive local dictionary for each category. The goal of our approach is twofold; to develop a reliable text categorization method on a certain subject domain, and to expand the initial FRT by automatically added...

High level quantile approximations of sums of risks

A. Cuberos, E. Masiello, V. Maume-Deschamps (2015)

Dependence Modeling

The approximation of a high level quantile or of the expectation over a high quantile (Value at Risk (VaR) or Tail Value at Risk (TVaR) in risk management) is crucial for the insurance industry.We propose a new method to estimate high level quantiles of sums of risks. It is based on the estimation of the ratio between the VaR (or TVaR) of the sum and the VaR (or TVaR) of the maximum of the risks. We show that using the distribution of the maximum to approximate the VaR is much better than using...

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