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The principle of uncertain future: the probability of a future event contains an (hidden) uncertainty. The first … probability system of a future event is incomplete. The second consequence provides a solution of the incompleteness of systems of …
Persistent link: https://www.econbiz.de/10005835901
risk modeling practices in global Finance (Danielsson et al., 2014; Zangari, 1996). Bayesian inference modeling and VaR … modeling frameworks are outlined to facilitate model risk management (Derman, 1996; Morini, 2011; US Fed & OCC, 2011) for … modeling (Darbyshire & Hampton, 2012, 2014) of a multi-asset fund of funds portfolio of a large Wall Street investment bank …
Persistent link: https://www.econbiz.de/10013031477
[increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling … practices in global finance. Many studies have noted that Bayesian inference modeling and VaR modeling frameworks facilitate … model risk management for minimizing risks. VaR frameworks are empirically applied for hedge fund risk modeling of multi …
Persistent link: https://www.econbiz.de/10014263882
be used, e.g., in economics and forecasting. It can assist to solve paradoxes such as Allais paradox and the “four …The theorem of existence of the ruptures in the probability scale has been proved for a discrete case. The theorem can …-fold-pattern” paradox and to create the correcting formula of forecasting. …
Persistent link: https://www.econbiz.de/10015222350
The general outline of the theorems of existence of the ruptures in numerical segments and in the probability scale is …
Persistent link: https://www.econbiz.de/10010981108
The general outline of the theorems of existence of the ruptures in numerical segments and in the probability scale is …
Persistent link: https://www.econbiz.de/10010382316
segments and of the probability scale in the presence of non-zero dispersion. The non-zero dispersion may be caused, for … example, by the influence of observation noises. Applications of the theorems to experiments, which are typical of the utility … theory, are briefly presented. Similar experiments may be associated with the old problems of utility theory, such as the …
Persistent link: https://www.econbiz.de/10010927787
following key contributions: Develops the first known Cyber-Finance-Trust™ framework for Cyber insurance modeling; Develops the … first known model risk management framework for Cyber insurance modeling; Develops first known analysis of significant and … insurance portfolio framework to minimize model risks, tail risks, systemic risks; Develops framework for Knightian uncertainty …
Persistent link: https://www.econbiz.de/10012972233
This paper presents a mathematical model to evaluate the risks of arbitration in contractual disputes to decide whether or not to raise an arbitration case for a claim. It adds the ingredient of a regret theory approach for taking that decision, if an amicable settlement amount is not agreed....
Persistent link: https://www.econbiz.de/10013092242
volatility stabilization mechanism. We illustrate them via utility-based metrics that reward the tail-risk reduction emanating …
Persistent link: https://www.econbiz.de/10012900599