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Isotonic Recalibration under a Low Signal-to-Noise Ratio
Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts.
E-backtesting
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation.
Characteristic kernels on Hilbert spaces, Banach spaces, and on sets of measures
We present new classes of positive definite kernels on non-standard spaces that are integrally strictly positive definite or characteristic.
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