Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach

DOI10.1515/STRM-2015-0009zbMATH Open1347.60143OpenAlexW2377086862MaRDI QIDQ293596FDOQ293596

Authors: Jan-Frederik Mai, Steffen Schenk, Matthias Scherer 

Publication date: 9 June 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2015-0009

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zbMATH Keywords

model uncertaintyDirichlet copulamodel robustnessvalue-at-risk models

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random measures (60G57) Special processes (60K99) Exchangeability for stochastic processes (60G09)

Cites Work

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• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Robustness and sensitivity analysis of risk measurement procedures
• Tailfree and neutral random probabilities and their posterior distributions
• On regression representations of stochastic processes
• Assessing financial model risk
• How superadditive can a risk measure be?
• Capturing parameter risk with convex risk measures
• On the Theorem of Frullani

Cited In (5)

• The infinite extendibility problem for exchangeable real-valued random vectors
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• Stochastic species abundance models involving special copulas
• On the construction of radially symmetric copulas in higher dimensions
• Practical robust estimators for the imprecise Dirichlet model

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