scholarly journals Rearrangement Algorithm in Risk Aggregation

2021 ◽  
Author(s):  
Alex Thomas
Keyword(s):  
Closed Form ◽  
Analytical Solutions ◽  
Risk Measure ◽  
Expected Shortfall ◽  
Insurance Company ◽  
Discretization Scheme ◽  
Rearrangement Algorithm ◽  
Risk Aggregation ◽  
Entropic Risk Measure

Sometimes there’s no closed-form analytical solutions for the risk measure of aggregate losses representing, say, a company’s losses in each country or city it operates in, a portfolio of losses subdivided by investment, or claims made by clients to an insurance company. Assuming there’s enough data to assign a distribution to those losses, we examine the Rearrangement Algorithm’s ability to numerically compute the Expected Shortfall and Exponential Premium Principle/Entropic Risk Measure of aggregate losses. A more efficient discretization scheme is introduced and the algorithm is extended to the Entropic Risk Measure which turns out to have a smaller uncertainty spread than the Expected Shortfall at least for the cases that we examined.

scholarly journals Rearrangement Algorithm in Risk Aggregation

2021 ◽  
Author(s):  
Alex Thomas
Keyword(s):  
Closed Form ◽  
Analytical Solutions ◽  
Risk Measure ◽  
Expected Shortfall ◽  
Insurance Company ◽  
Discretization Scheme ◽  
Rearrangement Algorithm ◽  
Risk Aggregation ◽  
Entropic Risk Measure

Sometimes there’s no closed-form analytical solutions for the risk measure of aggregate losses representing, say, a company’s losses in each country or city it operates in, a portfolio of losses subdivided by investment, or claims made by clients to an insurance company. Assuming there’s enough data to assign a distribution to those losses, we examine the Rearrangement Algorithm’s ability to numerically compute the Expected Shortfall and Exponential Premium Principle/Entropic Risk Measure of aggregate losses. A more efficient discretization scheme is introduced and the algorithm is extended to the Entropic Risk Measure which turns out to have a smaller uncertainty spread than the Expected Shortfall at least for the cases that we examined.

Analytical Solutions for Circular Bars Subjected to Large Strain Plastic Torsion

1990 ◽  
Vol 57 (2) ◽  
pp. 298-306 ◽  
Author(s):  
K. W. Neale ◽  
S. C. Shrivastava
Keyword(s):  
Closed Form ◽  
Analytical Solutions ◽  
Large Strain ◽  
Kinematic Hardening ◽  
Flow Theory ◽  
Constitutive Laws ◽  
Isotropic Hardening ◽  
Large Strains ◽  
Inelastic Behavior ◽  
Rate Dependent

The inelastic behavior of solid circular bars twisted to arbitrarily large strains is considered. Various phenomenological constitutive laws currently employed to model finite strain inelastic behavior are shown to lead to closed-form analytical solutions for torsion. These include rate-independent elastic-plastic isotropic hardening J2 flow theory of plasticity, various kinematic hardening models of flow theory, and both hypoelastic and hyperelastic formulations of J2 deformation theory. Certain rate-dependent inelastic laws, including creep and strain-rate sensitivity models, also permit the development of closed-form solutions. The derivation of these solutions is presented as well as numerous applications to a wide variety of time-independent and rate-dependent plastic constitutive laws.

scholarly journals Minimizing spectral risk measures applied to Markov decision processes

2021 ◽  
Author(s):  
Nicole Bäuerle ◽  
Alexander Glauner
Keyword(s):  
Minimization Problem ◽  
Risk Measures ◽  
Risk Measure ◽  
Sufficient Conditions ◽  
Planning Horizon ◽  
Insurance Company ◽  
Existence Of A Solution ◽  
Discounted Cost ◽  
Spectral Risk Measures ◽  
Markov Decision

AbstractWe study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP is assumed to have Borel state and action spaces and the cost function may be unbounded above. The optimization problem is split into two minimization problems using an infimum representation for spectral risk measures. We show that the inner minimization problem can be solved as an ordinary MDP on an extended state space and give sufficient conditions under which an optimal policy exists. Regarding the infinite dimensional outer minimization problem, we prove the existence of a solution and derive an algorithm for its numerical approximation. Our results include the findings in Bäuerle and Ott (Math Methods Oper Res 74(3):361–379, 2011) in the special case that the risk measure is Expected Shortfall. As an application, we present a dynamic extension of the classical static optimal reinsurance problem, where an insurance company minimizes its cost of capital.

Closed-form solutions of an elliptical crack subjected to coupled phonon–phason loadings in two-dimensional hexagonal quasicrystal media

2018 ◽  
Vol 24 (6) ◽  
pp. 1821-1848 ◽  
Author(s):  
Yuan Li ◽  
CuiYing Fan ◽  
Qing-Hua Qin ◽  
MingHao Zhao
Keyword(s):  
Closed Form ◽  
Integral Equations ◽  
Analytical Solutions ◽  
Boundary Integral Equations ◽  
Boundary Integral ◽  
Elliptical Crack ◽  
Two Dimensional ◽  
Crack Face ◽  
Penny Shaped Crack ◽  
Crack Problems

An elliptical crack subjected to coupled phonon–phason loadings in a three-dimensional body of two-dimensional hexagonal quasicrystals is analytically investigated. Owing to the existence of the crack, the phonon and phason displacements are discontinuous along the crack face. The phonon and phason displacement discontinuities serve as the unknown variables in the generalized potential function method which are used to derive the boundary integral equations. These boundary integral equations governing Mode I, II, and III crack problems in two-dimensional hexagonal quasicrystals are expressed in integral differential form and hypersingular integral form, respectively. Closed-form exact solutions to the elliptical crack problems are first derived for two-dimensional hexagonal quasicrystals. The corresponding fracture parameters, including displacement discontinuities along the crack face and stress intensity factors, are presented considering all three crack cases of Modes I, II, and III. Analytical solutions for a penny-shaped crack, as a special case of the elliptical problem, are given. The obtained analytical solutions are graphically presented and numerically verified by the extended displacement discontinuities boundary element method.

AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

2021 ◽  
pp. 2150015
Author(s):  
CALISTO GUAMBE ◽  
LESEDI MABITSELA ◽  
RODWELL KUFAKUNESU
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Risk Measures ◽  
Risk Measure ◽  
Jump Diffusion ◽  
Backward Stochastic Differential Equations ◽  
Financial Position ◽  
Entropic Risk Measure ◽  
Risk Representation

We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work considered by Chong et al. (2019) in the diffusion case. We also study the behavior of a forward entropic risk measure under jumps when a financial position is held for a longer maturity.

Generalized Couette Flow of a Third-Grade Fluid with Slip: The Exact Solutions

2010 ◽  
Vol 65 (12) ◽  
pp. 1071-1076 ◽  
Author(s):  
Rahmat Ellahi ◽  
Tasawar Hayat ◽  
Fazal Mahmood Mahomed
Keyword(s):  
Boundary Conditions ◽  
Exact Solutions ◽  
Closed Form ◽  
Analytical Solutions ◽  
Present Note ◽  
Nonlinear Problems ◽  
Third Grade ◽  
Third Grade Fluid ◽  
Flow Problems ◽  
Grade Fluid

The present note investigates the influence of slip on the generalized Couette flows of a third-grade fluid. Two flow problems are considered. The resulting equations and the boundary conditions are nonlinear. Analytical solutions of the governing nonlinear problems are found in closed form.

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