Stochastic risk

The relative contributions of genetic and environmental factors versus unavoidable stochastic risk factors to the variation in cancer risk among tissues have become a widely-discussed topic. Some claim that the stochastic effects of DNA replication are mainly responsible, others believe that cancer risk is heavily affected by environmental and hereditary factors.

12p vileonardodavinci 23-12-2023 4 4   Download

Part 1 of ebook "Risk analysis in theory and practice" provides readers with contents including: Chapter 1 - Introduction; Chapter 2 - The measurement of risk; Chapter 3 - The expected utility model; Chapter 4 - The nature of risk preferences; Chapter 5 - Stochastic dominance; Chapter 6 - Mean-variance analysis; Chapter 7 - Alternative models of risk behavior; Chapter 8 - Production decisions under risk;...

131p mocthanhdao0210 19-11-2023 3 1   Download

Continued part 1, part 2 of ebook "Mathematical methods for finance: Tools for asset and risk management" provides readers with contents including: chapter 7 - optimization; chapter 8 - difference equations; chapter 9 - differential equations; chapter 10 - stochastic integrals; chapter 11 - stochastic differential equations;...

156p hanlinhchi 29-08-2023 9 4   Download

Part 1 of ebook "Practical methods of financial engineering and risk management: Tools for modern financial professionals" provides readers with contents including: chapter 1 - financial instruments; chapter 2 - building a yield curve; chapter 3 - statistical analysis of financial data; chapter 4 - stochastic processes;...

199p hanlinhchi 29-08-2023 4 3   Download

Continued part 1, part 2 of ebook "Business risk management: Models and analysis" provides readers with contents including: Chapter 6 - Understanding risk behavior; Chapter 7 - Stochastic optimization; Chapter 8 - Robust optimization; Chapter 9 - Real options; Chapter 10 - Credit risk; Appendix A - Tutorial on probability theory; Appendix B - Answers to even-numbered exercises;...

204p hanlinhchi 28-08-2023 7 5   Download

Part 1 book "Reliability and risks - A bayesian perspective" includes content: Uction and overview; the quantification of uncertainty, exchangeability and indifference, stochastic models of failure, parametric failure data analysis.

205p oursky01 24-07-2023 6 4   Download

Part 1 of ebook "Applied quantitative finance (Third edition)" has presents the following content: market risk; vaR in high dimensional systems-a conditional correlation approach; multivariate volatility models; portfolio selection with spectral risk measures; implementation of local stochastic volatility model in FX derivatives; credit risk; estimating distance-to-default with a sector-specific liability adjustment via sequential monte carlo;...

244p dieptieuung 20-07-2023 8 3   Download

A major objective of the research presented here is to develop a link between the two approaches by establishing the relationship between the bridge component condition and the capacity and serviceability limits of the structure. A comprehensive review of literature identified methods of predictive modelling of bridge component condition change using different approaches. The review also indicated that a key to the proposed linkage is considering specific degradation mechanisms in predicting bridge deterioration.

254p runordie3 06-07-2022 8 1   Download

This study proposed a model for setting self-discipline saving rates in a risk-management framework and applied it to Thai income earners. The model involved financial planning, incorporating stochastic lifetime incomes, expenses, savings, and investment returns, together with mortality and morbidity data.

6p guernsey 28-12-2021 8 0   Download

The Stochastic Process Model (SPM) represents a general framework for modeling the joint evolution of repeatedly measured variables and time-to-event outcomes observed in longitudinal studies, i.e., SPM relates the stochastic dynamics of variables (e.g., physiological or biological measures) with the probabilities of end points (e.g., death or system failure).

12p vioklahoma2711 19-11-2020 8 1   Download

The directional distance function and semi-parametric framework are employed to estimate efficiency scores for two scenarios, one with only good outputs and the other with a combination of good and bad outputs.

15p nguathienthan5 03-06-2020 21 2   Download

– This paper uses the dynamic stochastic general equilibrium model and calibrates a version of the Carlstrom and Fuerst’s (1997) agency cost model of business cycles with timevarying uncertainty in the technology shocks that affect capital production. To highlight the differences between the US and European financial sectors, the paper focuses on two key components of the lending channel: the risk premium associated with bank loans and the bankruptcy rates.

22p nguathienthan5 03-06-2020 17 1   Download

In this paper, a stochastic model of a closed-loop supply chain (CLSC) with one risk-averse manufacturer, one risk-averse retailer and one risk-averse third party is developed.

18p tocectocec 24-05-2020 12 1   Download

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index between before and after the crisis. Little spatial dominance could be found, even considering the appreciation of the RMB, no matter in short-term or long run investment.

11p nguyenminhlong19 21-04-2020 15 3   Download

The evaluation of outstanding claims uncertainty plays a fundamental role in managing insurance companies. This topic has gained an increasing interest over last years because of the development of a new capital requirement framework under the Solvency II project. In particular, as results of main Quantitative Impact Studies showed, reserve risk is an essential part of underwriting risks and it has a prominent weight on the capital requirement for non-life insurance companies.

18p trinhthamhodang2 21-01-2020 16 1   Download

In this paper we have proposed an approach for minimization of a shares portfolio invested in a market which the fluctuations follow a normal distribution based in amathematical explicit formulae for calculating Value at Risk (VaR) for portfolios of linear financial assets invested using the Black-Scholes stochastic process and assuming that the portfolio structure remains constant over the considered time horizon. We minimize this Value at Risk using neural networks and genetic algorithms.

14p trinhthamhodang2 21-01-2020 19 0   Download

In this paper we apply two optimization frameworks to determine the optimal wholesale funding mix of a bank given uncertainty in both credit and liquidity risk. A stochastic linear programming method is used to find the optimal strategy to be maintained across all scenarios. A recursive learning method is developed to provide the bank with a trading signal to dynamically adjust the wholesale funding mix as the macroeconomic environment changes. The performance of the two methodologies is compared in the final section.

28p trinhthamhodang2 21-01-2020 20 1   Download

Previous studies have documented long run equilibrium relationships between either stock prices and labour income or dividends and consumption. In a general equilibrium stochastic growth model, these variables are related in the long run because they are all driven by the same stochastic trend - the fundamental development of productivity. We show that national stock price indices are cointegrated with domestic and foreign GDP in the G7 countries. Higher domestic productivity increase both domestic GDP and domestic stock prices.

20p trinhthamhodang2 19-01-2020 26 5   Download

This study aims to model lenders’ haircut decision specifically for stocks. The mathematical model showed that lenders face a trade-off between profit and risk exposure in a secured loan; consequently, haircuts are determined in the solvency as a stochastic variable. It was assumed coherently to industry practice that lenders use parametric VaR for collateral valuation. In this model, lenders’ probability selection in the VaR approach indicates their risk tolerance, which was captured through to asset liquidity and market volatility expectations.

28p trinhthamhodang2 19-01-2020 26 1   Download

Reserve risk represents a fundamental component of underwriting risk for non-life insurers and its evaluation can be achieved through a wide range of stochastic approaches, including the Collective Risk Model. This paper, in order to fill a gap in existing literature, proposes a Bayesian technique aimed at evaluating the standard deviation of structure variables embedded into the Collective Risk Model. We adopt uninformative prior distributions and the observations of the statistical model are obtained making use of Mack’s formula linked to bootstrap methodology.

32p chauchaungayxua2 19-01-2020 17 3   Download