9 search results - page 1 / 2 » Financial risk measurement with imprecise probabilities |
IJAR
2008
13 years 4 months ago
2008
Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can b...
WSC
2004
13 years 6 months ago
2004
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and ...
IJAR
2010
13 years 3 months ago
2010
We explore generalizations of the pari-mutuel model (PMM), a formalization of an intuitive way of assessing an upper probability from a precise one. We discuss a naive extension o...
KES
2007
Springer
13 years 11 months ago
2007
Springer
According to widely accepted guidelines for self-regulation, the capital requirements of a bank should relate to the level of risk with respect to three different categories. Amon...
ISIPTA
2003
IEEE
13 years 10 months ago
2003
IEEE
In this paper we study two classes of imprecise previsions, which we termed convex and centered convex previsions, in the framework of Walley’s theory of imprecise previsions. W...