For risk management, implementing risk measures and backtesting them are essential tasks. Since the expected shortfall (ES) possesses coherence and tail sensitivity, the Basel Committee has raised the option to replace the classical risk measure value-at-risk (VaR) with ES. However, the...

Portfolio selection is often faced with large noisy data sets of strongly correlated asset returns, and so is prone to unstable portfolio weights and serious estimation error. To attenuate these problems, this paper proposes a new latent factor model equipped with both a suitable robust...

This article proposes a framework for determining credibility premiums for multiple coverages in a compound risk model with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit multivariate credibility premium formula that is applicable...

Disaggregation of mortality by cause has advanced the development of life tables for life insurance and pension purposes. However, the assumption that the causes of death are independent is a challenge in reality. Furthermore, models that determine relationships among causes of death such as...

Over the span of a decade, the spectrum of online activities has expanded worldwide. From casual browsing to social networking, from education to entertainment, and from engaging in commercial to philanthropic pursuits, the array of online activities has continued to diversify in scope. Some...

A recently introduced approach is extended to probabilistic electricity price forecasting (EPF) utilizing distributional artificial neural networks, based on a regularized distributional multilayer perceptron (DMLP). We develop this technique for a multivariate case EPF with incorporated...

We provide a simple identity that decomposes a product moment of multivariate normal random variables as a sum of various products of univariate moments of one of the random variables and multivariate moments of the other random variables. The new identity allows for much faster computation of...

With the impacts of climate change intensifying, sea level is expected to rise 0.25–0.30 meters by 2050. With a one-degree Celsius rise in temperature, precipitation globally is expected to increase by 7%. An important service linked to these pressures are roads, which are known to flood and...

This article offers a new paradigm for analyzing the behavior of uncertain multivariable systems using a set of quantities we call inferential moments. Marginalization is an uncertainty quantification process that averages conditional probabilities to quantify the expected value of a probability...