Particle filters and data assimilation
P Fearnhead, HR Künsch - Annual Review of Statistics and Its …, 2018 - annualreviews.org
State-space models can be used to incorporate subject knowledge on the underlying
dynamics of a time series by the introduction of a latent Markov state process. A user can …
dynamics of a time series by the introduction of a latent Markov state process. A user can …
[引用][C] Correlation and Dependence in Risk Management: Properties and Pitfalls
P Embrechts - Risk Management: Value at Risk and Beyond …, 2002 - books.google.com
Modern risk management calls for an understanding of stochastic dependence going
beyond simple linear correlation. This article deals with the static (nontime-dependent) case …
beyond simple linear correlation. This article deals with the static (nontime-dependent) case …
Extreme value theory as a risk management tool
P Embrechts, SI Resnick… - North American Actuarial …, 1999 - Taylor & Francis
The financial industry, including banking and insurance, is undergoing major changes. The
(re) insurance industry is increasingly exposed to catastrophic losses for which the …
(re) insurance industry is increasingly exposed to catastrophic losses for which the …
Predicting financial crashes using discrete scale invariance
A Johansen, D Sornette, O Ledoit - arXiv preprint cond-mat/9903321, 1999 - arxiv.org
We present a synthesis of all the available empirical evidence in the light of recent
theoretical developments for the existence of characteristic log-periodic signatures of …
theoretical developments for the existence of characteristic log-periodic signatures of …
Application of coherent risk measures to capital requirements in insurance
P Artzner - North American Actuarial Journal, 1999 - Taylor & Francis
Risk measurements go hand in hand with setting of capital minima by companies as well as
by regulators. We review the properties of coherent risk measures and examine their …
by regulators. We review the properties of coherent risk measures and examine their …
Conditional value at risk and related linear programming models for portfolio optimization
Many risk measures have been recently introduced which (for discrete random variables)
result in Linear Programs (LP). While some LP computable risk measures may be viewed as …
result in Linear Programs (LP). While some LP computable risk measures may be viewed as …
[图书][B] Extreme values in finance, telecommunications, and the environment
B Finkenstadt, H Rootzén - 2003 - books.google.com
Because of its potential to... predict the unpredictable,... extreme value theory (EVT) and
methodology is currently receiving a great deal of attention from statistical and mathematical …
methodology is currently receiving a great deal of attention from statistical and mathematical …
Revealing intra-urban travel patterns and service ranges from taxi trajectories
As an important transport tool, taxi plays a significant role to meet travel demand in urban
city. Understanding the travel patterns of taxis is important for addressing many urban …
city. Understanding the travel patterns of taxis is important for addressing many urban …
Conditional value-at-risk: optimization approach
S Uryasev, RT Rockafellar - Stochastic optimization: algorithms and …, 2001 - Springer
A new approach for optimization or hedging of a portfolio of finance instruments to reduce
the risks of high losses is suggested and tested with several applications. As a measure of …
the risks of high losses is suggested and tested with several applications. As a measure of …
Pareto models for top incomes and wealth
A Charpentier, E Flachaire - The Journal of Economic Inequality, 2022 - Springer
Top incomes are often related to Pareto distribution. To date, economists have mostly used
Pareto Type I distribution to model the upper tail of income and wealth distribution. It is a …
Pareto Type I distribution to model the upper tail of income and wealth distribution. It is a …