Financial risk measurement with imprecise probabilities
نویسندگان
چکیده
منابع مشابه
Financial risk measurement with imprecise probabilities
Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can be viewed as instances of upper (or lower) previsions, thus letting us apply the theory of imprecise previsions to them. After a presentation of some well known risk measures, including Value-at-Risk or VaR, coherent an...
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An imprecise probability distribution is an instance of second-order uncertainty, that is, uncertainty about uncertainty, or uncertainty for short. Another instance is an imprecise possibility distribution. Computation with imprecise probabilities is not an academic exercise—it is a bridge to reality. In the real world, imprecise probabilities are the norm rather than exception. In large measur...
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This special issue contains a selection of articles from the First International Symposium on Imprecise Probabilities (ISIPTA). The symposium took place in Ghent, Belgium, during the month of June of 1999, under the organization of Gert de Cooman, Peter Walley, Sera®n Moral and Fabio Cozman. The success of the symposium led to the decision to hold a second one, to happen in Cornell, USA, in 200...
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We review de Finetti’s two coherence criteria for determinate probabilities: coherence1 defined in terms of previsions for a set of random variables that are undominated by the status quo – previsions immune to a sure-loss – and coherence2 defined in terms of forecasts for events undominated in Brier score by a rival forecast. We propose a criterion of IP-coherence2 based on a generalization of...
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Consider the uncertainty about whether it will rain in Brisbane next weekend. A weather forecaster may be able to assess a precise probability of rain, such as 0.3285 . . . , although even an expert should feel uncomfortable about specifying a probability to more than one or two decimal places. Someone who has little information about the prospects for rain may be able to make only an imprecise...
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ژورنال
عنوان ژورنال: International Journal of Approximate Reasoning
سال: 2008
ISSN: 0888-613X
DOI: 10.1016/j.ijar.2007.06.009