We explore generalizations of the pari-mutuel model (PMM), a formalization of an intuitive way of assessing an upper probability from a precise one. We discuss a naive extension of the PMM considered in insurance, compare the PMM with a related model, the Total Variation Model, and generalize the natural extension of the PMM introduced by P. Walley and other pertained formulae. The results are ...

The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since the severity of the departures of the VaR model from market results determine the penalties imposed for inadequate VaR models. In this paper we make six con...

K e y w o r d s: Family of Sign RCA Models, Value at Risk, backtesting, loss function.

The first conclusive evidence of a dipole resonance in ^{11}Li having isoscalar character observed from inelastic scattering with a novel solid deuteron target is reported. The experiment was performed at the newly commissioned IRIS facility at TRIUMF. The results show a resonance peak at an excitation energy of 1.03±0.03 MeV with a width of 0.51±0.11 MeV (FWHM). The angular distribution is con...

The effect of the mixing of pulsed two color fields on the generation of an isolated attosecond pulse has been systematically investigated. One main color is 800 nm and the other color (or secondary color) is varied from 1.2 to 2.4 microm. This work shows that the continuum length behaves in a similar way to the behavior of the difference in the square of the amplitude of the strongest and next...

Correlation between behavioral parameters and fMRI responses can provide an advanced understanding of the neuronal processes. A lexical decision task was employed to examine the correlation between the reaction time (RT) and the temporal parameters in event-related BOLD responses. Word frequency was manipulated in the experiment. RTs for high-frequency, low-frequency and pseudowords were measur...

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we highlight some of the underlying issues, both methodologically, as well as through examples. In partic...

How does it come about that alongside of the idea of ponderable matter, which is derived by abstraction from everyday life, the physicists set the idea of the existence of another kind of matter, the ether? The explanation is probably to be sought in those phenomena which have given rise to the theory of action at a distance, and in the properties of light which have led to the undulatory theor...

Steven Morrison Steven [email protected] A common definition of an insurer’s economic capital requirements is based around a 1-year Value at Risk (VaR) metric. This defines capital requirements in terms of some tail percentile (typically the 99.5th percentile) of the market-consistent value of the insurer’s balance sheet in 1 year’s time. The problem of estimating such a metric naturally le...