3 papers
q-fin.RM2020
Modality for Scenario Analysis and Maximum Likelihood Allocation
Takaaki Koike, Marius Hofert
We study the variability of a risk from the statistical viewpoint of multimodality of the conditional loss distribution given that the aggregate loss equals an exogenously provided…
q-fin.RM2019
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Takaaki Koike, Marius Hofert
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jt…
math.ST2018
Compatibility and attainability of matrices of correlation-based measures of concordance
Marius Hofert, Takaaki Koike
Measures of concordance have been widely used in insurance and risk management to summarize non-linear dependence among risks modeled by random variables, which Pearson's correlati…