Related papers: Convexity, translation invariance and subadditivit…
De Finetti's optimal reinsurance is a set of contracts, one for each risk in a portfolio, that caps the retained aggregate variance to a pre-specified level while minimizing total expected loss. The premiums are determined using the…
Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown…
We analyze the question of $U_{\star} (1)$ gauge invariance in a flat non-commutative space where the parameter of non-commutativity, $\theta^{\mu\nu} (x)$, is a local function satisfying Jacobi identity (and thereby leading to an…
Gauge-invariant perturbation theory for theories with a Brout-Englert-Higgs effect, as developed by Fr\"ohlich, Morchio and Strocchi, starts out from physical, exactly gauge-invariant quantities as initial and final states. These are…
We improve and subsume the conditions of Johansson and \"Oberg [18] and Berbee [2] for uniqueness of a g-measure, i.e., a stationary distribution for chains with complete connections. In addition, we prove that these unique g-measures have…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We describe a general approach to the theory of self consistent transfer operators. These operators have been introduced as tools for the study of the statistical properties of a large number of all to all interacting dynamical systems…
Over the past decade, characterizing the exact asymptotic risk of regularized estimators in high-dimensional regression has emerged as a popular line of work. This literature considers the proportional asymptotics framework, where the…
We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic programs with complete linear recourse and random right-hand…
We establish a dimension-free improvement of Talagrand's Gaussian transport-entropy inequality, under the assumption that the measures satisfy a Poincar\'e inequality. We also study stability of the inequality, in terms of relative entropy,…
Based on discrete observations, we develop a test to infer if the volatility function $\sigma(\cdot)$ within the nonparametric Gaussian white noise model $dY_t = \sigma(t)dW_t$ is constant. The testing procedure is shown to be…
We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stochastic. Our construction is purely…
By means of the techniques of Boolean valued analysis, we provide a transfer principle between duality theory of classical convex risk measures and duality theory of conditional risk measures. Namely, a conditional risk measure can be…
We prove that the (B) conjecture and the Gardner-Zvavitch conjecture are true for all log-concave measures that are rotationally invariant, extending previous results known for Gaussian measures. Actually, our result apply beyond the case…
We construct and analyze an estimator of association between random variables based on their similarity in both direction and magnitude. Under special conditions, the proposed measure becomes a robust and consistent estimator of the linear…
In this work, we investigate the question of how knowledge about expectations $\mathbb{E}(f_i(X))$ of a random vector $X$ translate into inequalities for $\mathbb{E}(g(X))$ for given functions $f_i$, $g$ and a random vector $X$ whose…
The goal of this paper is to show that a single robust estimator of the mean of a multivariate Gaussian distribution can enjoy five desirable properties. First, it is computationally tractable in the sense that it can be computed in a time…
For a Radon measure $\mu$ on $\bbR,$ we show that $L^{\infty}(\mu)$ is invariant under the group of translation operators $T_t(f)(x) = {$f(x-t)$}\ (t \in \bbR)$ if and only if $\mu$ is equivalent to Lebesgue measure $m$. We also give…
Sensitivity analysis informs causal inference by assessing the sensitivity of conclusions to departures from assumptions. The consistency assumption states that there are no hidden versions of treatment and that the outcome arising…
Theories of physics can be considered viable if the initial value problem and the energy conditions are formulated self-consistently. The former allow a uniquely determined dynamical evolution of the system, and the latter guarantee that…