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Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire w ...
Recently Heyde, Kou and Peng (2007) proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis to provide alternat ...
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Math. Finance 9, 203–228; Artzner, P., De ...
This paper presents a methodology for increasing the reliability of route suggestions in route guidance systems. The procedure, based on the A* path-finding algorithm and Chen's link penalty method, involves penalizing links with a high risk of being conge ...
This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to ...
The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedur ...
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To document an individual's longitudinal construction of risk is a logistically intensive task. To identify a logistically feasible approach, we review existing agent-based experience documentation approaches within the context of a specified risk source - ...
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The E* algorithm is a path planning method capable of dynamic replanning and user-configurable path cost interpolation, it results in more appropriate paths during gradient descent. The underlying formulation is based on interpreting navigation functions a ...
We formulate the service composition problem as a multi-objective stochastic program which simultaneously optimizes the following quality of service (QoS) parameters: workflow duration, service invocation costs, availability, and reliability. All of these ...
We investigate the problem of automatic tuning of a deconvolution algorithm for three-dimensional (3D) fluorescence microscopy; specifically, the selection of the regularization parameter λ. For this, we consider a realistic noise model for data obtained ...
