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Matrix compatibility and correlation mixture representation of generalized Gini's gamma
Takaaki Koike, Marius Hofert
Representations of measures of concordance in terms of Pearson' s correlation coefficient are studied. All transforms of random variables are characterized such that the correlatio…
Comparison of correlation-based measures of concordance in terms of asymptotic variance
Takaaki Koike, Marius Hofert
We compare measures of concordance that arise as Pearson's linear correlation coefficient between two random variables transformed so that they follow the so-called concordance-ind…
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…
Avoiding zero probability events when computing Value at Risk contributions
Takaaki Koike, Yuri F. Saporito, Rodrigo S. Targino
This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional E…