This paper deals with the problem of estimating the Multivariate version of the Conditional-TailExpectation introduced in the bivariate framework in Di Bernardino et al. (2013), and generalized in Cousin and Di Bernardino (2014). We propose a new semi-parametric estimator for this risk measure, essentially based on statistical extrapolation techniques, well designed for extreme risk levels. We ...

A bond and stock model is considered where the driving process is the sum of a Wiener process W and a continuous process Z with zero generalized quadratic variation. By means of forward integrals a hedge against Markov type claims is contructed. If Z is independent of W under some natural assumptions on Z and the admissible portfolio processes the model is shown to be arbitrage free. The fair p...

www.stat.unipd.it/fare-ricerca/seminari DIPARTIMENTO DI SCIENZE STATISTICHE UNIVERSITÀ DEGLI STUDI DI PADOVA 2 GENERALIZED ADDITIVE MODELS FOR CONDITIONAL DEPENDENCE STRUCTURES VALERIE CHAVEZ-DEMOULIN FULL PROFESSOR, DEPARTMENT OF OPERATIONS FACULTY OF BUSINESS AND ECONOMICS – UNIVERSITY OF LAUSANNE – (CH) Abstract We develop a generalized additive modeling framework for taking into account the...

Angeles Jaen1*, Elisabeth Buira2, Albert Giménez2, Tomás Pumarola3, Teresa Puig4, Jordi Niubó5, Mariona Xercavins6, Daniel Podzamczer5, Bonaventura Clotet4, Josep Maria Gatell3 and David Dalmau1,7 On Behalf of CHRN Group Study 1Fundació Docència i Recerca Mútua Terrassa, Catalonia, Spain 2Direcció General de Salut Pública, Barcelona, Catalonia Government, Spain 3Hospital Clinic-IDIBAPS de Barce...

In this paper we investigate updates of knowledge bases represented by logic programs. In order to represent negative information, we use generalized logic programs which allow default negation not only in rule bodies but also in their heads.We start by introducing the notion of an update P U of a logic program P by another logic program U . Subsequently, we provide a precise semantic character...

In this paper we investigate updates of knowledge bases represented by logic programs. In order to represent negative information, we use generalized logic programs which allow default negation not only in rule bodies but also in their heads. We start by introducing the notion of an update P U of one logic program P by another logic program U. Subsequently, we provide a precise semantic charact...

Quantitative analysis of dynamical processes requires a precise estimation of the optical ow eld from image sequences. Most articles evaluating the performance of optical ow techniques focus on the initial formulation of the minimization problem to solve the ill posed brightness change constraint equation. Performance di erences are attributed to slight di erences in the formulation of the mini...

In this paper we investigate updates of knowledge bases represented by logic programs. In order to represent negative information, we use generalized logic programs which allow default negation not only in rule bodies but also in their heads.We start by introducing the notion of an update P U of a logic program P by another logic program U . Subsequently, we provide a precise semantic character...