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Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/20
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
From Smile Asymptotics to Market Risk Measures
dynamic convex risk measures volatility skew stochastic volatility models indifference pricing backward stochastic differential equations
2011/10/9
Abstract: The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices...
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Black-Scholes model Capital-at-Risk Expected Shortfall logarithmic utility optimal consumption portfolio optimization utility maximization Value-at-Risk
2010/4/27
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in te...
In this paper we indicate a natural generalization of the notion of the coherent risk measure in some partially ordered normed linear space E, according to the remark that was first made in [9] about ...
Harmonic analysis, quadratic forms and asymptotic expansions of risk measures
Quadratic form Gaussian model stationary phase
2010/9/10
In this paper we develop asymptotic expansions of Conditional Value at Risk (CVaR), one of the most widely used risk measures in the financial industry, based on harmonic analysis and the method of st...