Concept

Tail value at risk

Publications associées (32)

Model Uncertainty And Scenario Aggregation

Damir Filipovic, Mathieu Jacques David Cambou

This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the defi ...

Wiley-Blackwell2017

Robust Portfolio Optimization

Zheng Wei Yap

Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...

EPFL2017

Robust Bounds In Multivariate Extremes

Sebastian Engelke

Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is ...

Institute of Mathematical Statistics2017

Urban governance in earthquake struck medium-sized Haitian cities

Abigaïl-Laure Sarah Irène Kern

This paper aims to provide an insight into the urban governance of four medium-sized Haitian cities hit by the earthquake of 2010, bearing in mind two affirmations of J. Pierre on urban governance; namely, that it is the better analytical model for the con ...

2015

Prédétermination des hauteurs de départ d'avalanches : une approche par extrêmes spatiaux

Johan Alexandre Philippe Gaume

Numerical models of snow avalanches propagation have acquired a central role among decision tools for avalanche protection engineering. Nevertheless, the systematic implementation of these models still faces a number of difficulties including the precise e ...

2013

Approaches to Conditional Risk

Damir Filipovic

We present and compare two different approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis wher ...

2012

Risk-averse shortest path problems

Daniel Kuhn, Grani Adiwena Hanasusanto

We investigate routing policies for shortest path problems with uncertain arc lengths. The objective is to minimize a risk measure of the total travel time. We use the conditional value-at-risk (CVaR) for when the arc lengths (durations) have known distrib ...

IEEE2012

Multi-resource allocation in stochastic project scheduling

Daniel Kuhn, Wolfram Wiesemann

We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...

2012

Extreme rainfall in West Africa: A regional modeling

Juliette Ferial Blanchet, Adnan Ali

In a world of increasing exposure of populations to natural hazards, the mapping of extreme rainfall remains a key subject of study. Such maps are required for both flood risk management and civil engineering structure design, the challenge being to take i ...

Amer Geophysical Union2012

A Stochastic Programming Approach for QoS-Aware Service Composition

Daniel Kuhn, Wolfram Wiesemann

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 ...

IEEE2008

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