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Tingting Wu, Bisong Hu, Jin Luo and Shuhua Qi
The novel coronavirus pneumonia (COVID-19) pandemic has caused enormous impacts around the world. Characterizing the risk dynamics for urgent epidemics such as COVID-19 is of great benefit to epidemic control and emergency management. This article presen...
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Thibaut Théate and Damien Ernst
Classical reinforcement learning (RL) techniques are generally concerned with the design of decision-making policies driven by the maximisation of the expected outcome. Nevertheless, this approach does not take into consideration the potential risk assoc...
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Riaman, Sukono, Sudradjat Supian and Noriszura Ismail
This paper discusses the relationship between weather and rice productivity modeled using the Cobb?Douglas production function principle, with the hypothesis that rice production will increase in line with the increase in average rainfall, wind speed, an...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Hui Yao and Thomas Taimre
We consider the problem of estimating tail probabilities of random sums of scale mixture of phase-type distributions?a class of distributions corresponding to random variables which can be represented as a product of a non-negative but otherwise arbitrar...
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John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp...
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Maddalena Marchelli, Valerio De Biagi and Daniele Peila
Net fences are among the most widespread passive protective measures to mitigate the risk from rockfall events. Despite the current design approach being based on partial safety factors, a more efficient time-dependent reliability approach has been recen...
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Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado
Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ...
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Owen Jakata,Delson Chikobvu
AbstractOrientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.Research purpose: The main...
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Leonardo Nascimento Castro,Osvaldo Candido
Pág. 123 - 155
Due to the Crisis of 2008, the Basel Committee accelerated the process for update the Accord and identified some weaknesses such as the inability of VaR to capture the tail risk. Subsequently, it was recommended to substitute VaR, a non-coherent measure ...
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