Related papers: Maturity-independent risk measures
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
In decision making under uncertainty and risk, worst-case risk assessments are often conducted using maxitive monetary risk measures. In this article, we study maxitive monetary risk measures on the space $L^0$ of all random variables…
In this article, we consider computing expectations w.r.t. probability measures which are subject to discretization error. Examples include partially observed diffusion processes or inverse problems, where one may have to discretize time…
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents a theoretical utopia. Furthermore, significant risk…
Failures are challenging for learning to control physical systems since they risk damage, time-consuming resets, and often provide little gradient information. Adding safety constraints to exploration typically requires a lot of prior…
In reliability-based design, the estimation of the failure probability is a crucial objective. However, focusing only on the occurrence of the failure event may be insufficient to entirely characterize the reliability of the considered…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We propose a new nonparametric test for the supposition of independence between two continuous random variables. The test is based on the size of the longest increasing subsequence of a random permutation. We identified the independence…
Outer measures can be used for statistical inference in place of probability measures to bring flexibility in terms of model specification. The corresponding statistical procedures such as Bayesian inference, estimators or hypothesis…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
Diffusion model-based approaches have shown promise in data-driven planning, but there are no safety guarantees, thus making it hard to be applied for safety-critical applications. To address these challenges, we propose a new method,…
We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement…
Conditional independence and graphical models are well studied for probability distributions on product spaces. We propose a new notion of conditional independence for any measure $\Lambda$ on the punctured Euclidean space $\mathbb…
I review recent progress in defining a probability measure in the inflationary multiverse. General requirements for a satisfactory measure are formulated and recent proposals for the measure are clarified and discussed.
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spaces and construct their robust counterparts through families…
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…
We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that…
This study explores information measures based on extropy, introducing dynamic relative extropy measures for residual and past lifetimes, and investigating their various properties. Furthermore, the study analyzes the relationships between…
Over the last couple of decades, several copula based methods have been proposed in the literature to test for the independence among several random variables. But these existing tests are not invariant under monotone transformations of the…