Related papers: Convexity, translation invariance and subadditivit…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
In this paper, we investigate the distributions of random couples $(X,Y)$ with $X$ real-valued such that any non-negative integrable random variable $f(X)$ can be represented as a conditional expectation, $f(X)=\mathbb{E}[g(Y)|X]$, for some…
We show that a wide class of risk-constrained nonconvex functional optimization problems exhibit strong duality, regardless of nonconvexity. We develop two novel results under distinct sets of assumptions, establishing strong duality over…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…
A subset $\{g_1, \ldots , g_d\}$ of a finite group $G$ invariably generates $G$ if $\{g_1^{x_1}, \ldots , g_d^{x_d}\}$ generates $G$ for every choice of $x_i \in G$. The Chebotarev invariant $C(G)$ of $G$ is the expected value of the random…
We study expansive measures for continuous flows without fixed points on compact metric spaces. We provide a new characterization of expansive measures through dynamical balls that, in contrast to the dynamical balls considered in [\emph{J.…
In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…
We develop an assume-guarantee framework for control of large scale linear (time-varying) systems from finite-time reach and avoid or infinite-time invariance specifications. The contracts describe the admissible set of states and controls…
Probabilistic dependency graphs (PDGs) are a flexible class of probabilistic graphical models, subsuming Bayesian Networks and Factor Graphs. They can also capture inconsistent beliefs, and provide a way of measuring the degree of this…
We consider translation-invariant interacting particle systems on the lattice with finite local state space admitting at least one Gibbs measure as a time-stationary measure. The dynamics can be irreversible but should satisfy some mild…
This paper studies the robustness of estimated policy effects to changes in the distribution of covariates, a key determinant of the external validity of (quasi)-experimental results. I propose a novel robustness metric $\delta^*$ which…
In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…
When estimating an effect of an action with a randomized or observational study, that study is often not a random sample of the desired target population. Instead, estimates from that study can be transported to the target population.…
Expectiles were introduced by Newey and Powell (1987) in the context of linear regression models. Recently, Bellini et al. (2014) revealed that expectiles can also be seen as reasonable law-invariant risk measures. In this article, we show…
The present paper provides a representation result for monetary risk measures (i.e., monotone translation invariant functionals) satisfying a weak maxitivity property. This result can be understood as a functional analytic generalization of…
Let $\{\mu(\cdot,t):t\geq0\}$ be the family of probability measures corresponding to the solution of the inelastic Kac model introduced in Pulvirenti and Toscani [\textit{J. Stat. Phys.} \textbf{114} (2004) 1453-1480]. It has been proved by…
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…
We consider robust covariance estimation with group symmetry constraints. Non-Gaussian covariance estimation, e.g., Tyler scatter estimator and Multivariate Generalized Gaussian distribution methods, usually involve non-convex minimization…