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Found 4 papers, 1 papers with code
Conformal prediction for frequency-severity modeling
We present a nonparametric model-agnostic framework for building prediction intervals of insurance claims, with finite sample statistical guarantees, extending the technique of split conformal prediction to the domain of two-stage frequency-severity modeling.
Risk Budgeting Allocation for Dynamic Risk Measures
We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where risk is measured using a dynamic time-consistent risk measure.
Risk Budgeting Portfolios from Simulations
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio.
Avoiding zero probability events when computing Value at Risk contributions
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).
