# Questions tagged [risk-assessment]

For questions about risk assessment, a systematic process of evaluating the potential risks that may be involved in a projected activity or undertaking.

61 questions
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### a lower bound for the optimal solution of $VaR$ problem?

I need to find a lower bound for $VaR_\alpha$ in the problem $CVaR_\alpha(X)$. I think the optimal solution of the Exerted value problem it's work. but I'm not sure. Is the optimal solution of the ...
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### Why must risk averse be correlated with a concave utility function?

Let my utility function $U: \mathbb{R}\to\mathbb{R}$ be arbitrary and suppose I am a risk averse person. Now suppose there was no risk involved with the attainment of money. Should should my utility ...
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### Cramér-Lundberg model for on-demand insurance

I am looking for inspiration and perhaps guidance on the following as I’ve been stuck for a while now: Context: I am working on a practically oriented project to adjust the Cramér-Lundberg model ...
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### Two-horse race probabilities

I have a rather basic question about probabilities, and this is a reference request. Assume you have 100 units of something, and you have to bet the 100 units into two events, A or B. You can ...
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### Moment generation function - compound Poisson

Let $S_1$ be distributed with compound Poisson $\lambda_1=2$ and discrete indeminizations: $f_1 (x), x \geq 0$. And let $S_2$ be compound Poisson distributed with $\lambda_2=4$, and discrete ...
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### Exponentially distributed claims using Cramer-Lundberg approximation

I'm a bit stuck with my homework in a subject called "Risk Theory" and therefore I'm longing for your help! I know that the hints has been given etc, but I'm still confused and any kind of help would ...
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### Value at Risk boundaries

For my bachelor thesis i need to proof the following proposition: $X_1, X_2$ random variables with $F_1=F_2=F$ continuous distribution concentrated on [0,$\infty$) with an ultimately decreasing ...
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### Filtered Historical Simulation FHS for VAR

If I wish to run a FHS for VaR model, first I estimate the GARCH model on the historical returns $r_{t}$, then I obtain the historical innovation time series as $z_{t}=\frac{r_{t}}{\sigma_{t}}$, where ...
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### Value at Risk (VAR), TVAR, ES for uniform distribution

The following is a problem for Kaas "Modern acturial risk theory". I am trying to understand my concepts for TVAR, VAR, and CTE Question: Give expressions from VAR, TVAR, and CTE in case S ~ Uniform[...
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### Decision making based on epistemic uncertainty

You have a yellow button and a blue button. The yellow button saves 10 lives. The blue button saves 1 life. However, both buttons have an independent, unknown probability of working. Your objective is ...
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### Function for Risk Score based on Decision Tree

I want to build a model that generates a risk score based on a decision tree of six levels. All these levels and options have the same weight (1). The first level has three options. The second level ...
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### A question about probabilities and risk

Consider a game where you gamble with money. Several outcome may exist with different probabilities of occuring where you win or lose varying amounts. Let $X$ equal the amount of money retaind when ...
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### Value-at-risk problems

I have this data Loss L1, L2, L3... Ln Probability P1, P2, P3... Pn And I'm trying to calculate value-at-risk using this model https://en.wikipedia.org/wiki/Value_at_risk#Mathematical_definition ...
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### Mean residual life function limits

In my paper about mean residual life functions and heavy tails I've come across the examples listed in the picture below. http://i.stack.imgur.com/OnklD.png source (page 124/125): http://www.mi.uni-...
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### Basic math, Confusion working out chance of failure.

While I am quite technical, I am not a mathematician. So please be forgiving if this question seems overly simple. My probability abilities left me long ago. I have a problem which I was arrogant ...
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### Formulating simple games as Bayesian problems

Say you are in a game where every win doubles your money and every lose halves. You can walk away any time with the money you have by giving up? The rules of game is every step a problem is posed ...
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### Using risk aversion

I'm trying to figure out what the non-stochastic equivalent payment is for someone who is risk-averse. Suppose we have a lottery that pays out\$100 with probability one half and \$0 with probability ...
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### X% per turn over Y turns? Is my working out correct? risks and probabilities.

4% per turn * (over the course of) 25 turns. e.g. 1 Person $\alpha$ let's call him bob. Bob a 4% chance of winning something every day for 25 days. Whats the chance of him winning? (about 100%?) e....
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### Algorithm for risky investments in banks

I made the following programming question on stack overflow but the users said it was more of math question. Here it is. Situation You start with a fixed amount of money, take it as $\$1000\$. You ...
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### Calculate single “battle” outcome odds for RISK

I am trying to reproduce the values in this odds ratio table from Wikipedia. For all those unfamiliar with RISK, this is a game where units fight against each other via the roll of the dice: The ...