The concept of coherent risk measure was introduced in Artzner et al. (1999). They listed some properties, called axioms of ‘coherence’, that any good risk measure should possess, and studied the (non-)coherence of widely-used risk measure such as Value-atRisk (VaR) and expected shortfall (also known as tail conditional expectation or tail VaR). Kusuoka (2001) introduced two additional axioms c...

We study the discrete optimization problem under the distributionally robustframework. We optimize the Entropic Value-at-Risk, which is a coherentrisk measure and is also known as Bernstein approximation for the chanceconstraint. We propose an efficient approximation algorithm to resolve theproblem via solving a sequence of nominal problems. The computationalresults show...

the purpose of this study is estimation of daily value at risk (var) for total index of tehran stock exchange using parametric, nonparametric and semi-parametric approaches. conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated var and also to compare the performance of mentioned approaches. in most cases, based on backtesting statistics results, ...

In this paper we show how the Walsh fun ctions can be used to com pute schema var iance and rela te schema vari an ce to deception . We also calcula te op erator-adj usted fitness for Walsh funct ions.

This paper addresses the problem of dynamic asset allocation under a bounded shortfall risk in a market composed of three assets: cash, stocks and a zero coupon bond. The dynamics of the instantaneous short rates is driven by a Hull and White model. In this setting, we determine and compare optimal investment strategies maximizing the CRRA utility of terminal wealth with and without value at ri...

Lepidozia stuhlmannii, L. pearsonii, Atrichum tenellum, Bryum lanatum, Campylopus subulatus, Ceratodon stenocarpus, Polytrichum commune var. humile and Thuidium delicatulum are reported as new to the Azores. The record of Sphagnum pylaisii from Terceira is referred to a monoclade expression of S. denticulatum. The presence of the North American Leucobryum albidum on the Azores is confirmed and ...

In this paper, following the generalization of Delta Normal VaR to Delta Mixture Elliptic VaR in Sadefo-Kamdem [3], we give and explicit formula to estimate linear VaR and ES when the risk factors changes with the mixture of t-Student distributions. In particular, we give rise to Delta-Mixture-Student VaR and the Delta-Mixture-Elliptic ES.

Abstract: In this paper, we consider compositions of conditional risk measures in order to obtain time-consistent dynamic risk measures and determine the solvency capital of a life insurer selling pension liabilities or a pension fund with a single cash-flow at maturity. We first recall the notion of conditional, dynamic and time-consistent risk measures. We link the latter with its iterated pr...

M C S THE definit ion of the different sectors of the indus t r ia l structure of an economy has to be baaed on a p ragmat ic appraisal of the preva i l ing conditions, w i t h due al lowance for adjustments and var ia t ions . if it is to be economical ly meaningful . Such an approach is needed a l l the more in the context of a g r o w i n g economy, fast developing as a result of conscious a...