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 …

[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 …

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 …

The general outline of the theorems of existence of the ruptures in numerical segments and in the probability scale is …

The general outline of the theorems of existence of the ruptures in numerical segments and in the probability scale is …

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 …

volatility stabilization mechanism. We illustrate them via utility-based metrics that reward the tail-risk reduction emanating …

. The proofs are performed for the continuous case. Manifestations of these ruptures in economics and forecasting are …Proofs of theorems of existence of ruptures in finite numerical segments and in the probability scale are considered …

consequences of the hypothesis in utility and prospect theories are reviewed. Partially unforeseen events and their role in … forecasting are analyzed. Preliminary preparations are shown to be able, under specified conditions, to quicken the revisions of …

an investor who starts with a logarithmic utility and applies a quadratic penalty function. The investor builds a … dynamical estimate of the market price of risk and updates her stochastic utility in accordance with the so-perceived elapsed …