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Optimal Reinsurance under Distortion Risk Measures
Distortion risk measure expected premium principle the optimal reinsurance strategy VaR TVaR
2016/1/25
In this paper, we discuss the optimal reinsurance strategy of minimizing the in-surer’s risk under the distortion risk measure. We assume that reinsurance premium is determined by the expected premium...
Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/25
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Optimal Reinsurance under Distortion Risk Measures
Distortion risk measure expected premium principle the optimal reinsurance strategy VaR TVaR
2016/1/20
In this paper, we discuss the optimal reinsurance strategy of minimizing the in-surer’s risk under the distortion risk measure. We assume that reinsurance premium is determined by the expected premium...
Statistical equilibrium measures in micromagnetics
Equilibrium statistical theory ferromagnetic materials rotate fluctuations
2014/12/29
We derive an equilibrium statistical theory for the macroscopic description of a ferromagnetic material at positive finite temperatures. Our formulation describes the most-probable equilibrium macrost...
Evaluating Federal Urban Forestry Performance Measures in Massachusetts (U.S.A.)
urban and community forestry street trees urban forest management urban forestry performance measures Massachusetts
2014/12/8
In 2006, the U.S. Forest Service implemented performance measures to evaluate urban forestry management in communities in each state. The Forest Service implemented these measures under its Community ...
Measures of serial extremal dependence and their estimation
Measures serial extremal dependence their estimation
2013/4/28
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent conc...
Generalized Measures for the Evaluation of Community Detection Methods
Complex Networks Community Detection Evaluation Measure Cluster Analysis Purity Adjusted Rand Index Normalized Mutual Information
2013/5/2
Community detection can be considered as a variant of cluster analysis applied to complex networks. For this reason, all existing studies have been using tools derived from this field when evaluating ...
Spectral Risk Measures, With Adaptions For Stochastic Optimization
Spectral Risk Measures Adaptions Stochastic Optimization
2012/11/22
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to qua...
Information-Theoretic Measures of Influence Based on Content Dynamics
entropy link prediction causality social networks
2012/9/18
The fundamental building block of social in uence is for one person to elicit a response in another. Researchers measur-ing a \response" in social media typically depend either on detailed models of h...
What Drives the Adoption of Antiphishing Measures by Hong Kong Banks?
the use of antiphishing security protocols the results of a study correlations the data protection methods
2011/10/29
The article analyzes the use of antiphishing security protocols by banks based in Hong Kong, China. It presents the results of a study conducted in 2005 and 2007, which was designed to identify correl...
On the Weakenesses of Correlation Measures used for Search Engines' Results (Unsupervised Comparison of Search Engine Rankings)
Search Engines Correlation Measures Search Engine Rankings
2011/7/19
The correlation of the result lists provided by search engines is fundamental and it has deep and multidisciplinary ramifications. Here, we present automatic and unsupervised methods to assess whether...
Riesz measures and Wishart laws associated to quadratic maps
convex cones homogeneous cones Riesz measures Wishart laws
2011/7/19
We introduce a natural definition of Riesz measures and Wishart laws associated to an $\Omega$-positive (virtual) quadratic map, where $\Omega \subset \real^n$ is a regular open convex cone.
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates o...
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Risk measure Heavy-tailed distribution Distortion risk measure Weighted risk measure Proportional hazards transform Conditional tail expectation Premium calculation principle Index of economic inequality Statistical inference
2011/6/20
Considerable literature has been devoted to developing statistical
inferential results for risk measures, especially for those that are
of the form of L-functionals. However, practical and theoretic...
PAC learnability under non-atomic measures: a problem by Vidyasagar
PAC learnability non-atomic measures learning rule uniform GlivenkoCantelli classes Martin’s Axiom VC dimension modulo countable sets fat shattering dimension modulo countable sets
2011/6/20
In response to a 1997 problem of M. Vidyasagar, we state a criterion for PAC learnability of a concept
class C under the family of all non-atomic (diffuse) measures on the domain
. The uniform Gliv...