This paper introduces a new method to up-scale dependent loss distributions from natural hazards to higher spatial levels, explicitly incorporating their dependency structure over the aggregation process. The method is applied for flood risk in Europe. Based on this “hybrid convolution”...

This article is an overview of recent progress on a theory of games, whose payoffs are probability distributions rather than real numbers, and which have their equilibria defined and computed over a (suitably restricted yet dense) set of distributions. While the classical method of defining game...

With the implementation of the Basel II regulatory framework, it became increasingly important for financial institutions to develop accurate loss models. This work investigates the loss given default (LGD) of mortgage loans using a large set of recovery data of residential mortgage defaults...

There are two main types of data sources of income distributions in China: household survey data and grouped data. Household survey data are typically available for isolated years and individual provinces. In comparison, aggregate or grouped data are typically available more frequently and...

A recently developed Bayesian interpolation method (BI) and its application to safety assessment of a flood defense structure are described in this paper. We use a one-dimensional Bayesian Monte Carlo method (BMC) that has been proposed in (Rajabalinejad <CitationRef CitationID="CR7">2009</CitationRef>) to develop a weighted logical...</citationref>

We develop a general approach to estimation and inference for income distributions using grouped or aggregate data that are typically available in the form of population shares and class mean incomes, with unknown group bounds. Generic moment conditions and an optimal weight matrix that can be...

We show how the generalized method of moments (GMM) framework developed in Hajargasht et al. (2012) for estimating income distributions from grouped data can be adapted for estimating mixtures. This approach can be used to estimate a mixture of any distributions where the moments and moment...