Referring to Dempster-Shafer theory, we introduce a bivariate random walk enforcing Markovianity and time-homogeneity under a pessimistic view towards ambiguity. This is done through a suitable family of joint t-step transition belief functions, generalizing the product of two independent binomial transition probabilities, where ambiguity is expressed by a parameter. Given a real-valued function of the pair at a fixed time horizon, we define the dynamic lower and upper Value-at-Risk (VaR), generated by the corresponding dynamic p-box.
Cinfrignini, A., Petturiti, D., Vantaggi, B. (2024). Imprecise Dynamic Value-at-Risk Induced by a DS-Bivariate Random Walk. In Scalable Uncertainty Management (pp.115-129) [10.1007/978-3-031-76235-2_9].
Imprecise Dynamic Value-at-Risk Induced by a DS-Bivariate Random Walk
Cinfrignini, Andrea;
2024-01-01
Abstract
Referring to Dempster-Shafer theory, we introduce a bivariate random walk enforcing Markovianity and time-homogeneity under a pessimistic view towards ambiguity. This is done through a suitable family of joint t-step transition belief functions, generalizing the product of two independent binomial transition probabilities, where ambiguity is expressed by a parameter. Given a real-valued function of the pair at a fixed time horizon, we define the dynamic lower and upper Value-at-Risk (VaR), generated by the corresponding dynamic p-box.
| File | Dimensione | Formato | |
|---|---|---|---|
|
CPV-SUM2024-CAMERA-READY.pdf
embargo fino al 13/11/2025
Tipologia:
Post-print
Licenza:
PUBBLICO - Pubblico con Copyright
Dimensione
648.63 kB
Formato
Adobe PDF
|
648.63 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/11365/1277958