Related papers: Deterministic definition of the capital risk
We propose a method to assess the intrinsic risk carried by a financial position $X$ when the agent faces uncertainty about the pricing rule assigning its present value. Our approach is inspired by a new interpretation of the quasiconvex…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
This essay advocates the view that any problem that has a meaningful empirical content, can be formulated in constructive, more definitely, finite terms. We consider combinatorial models of dynamical systems and approaches to statistical…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
We derive the Hamiltonian formulation of classical mechanics directly, without reference to Lagrangian mechanics. We start from the definition of states in terms of labels used to identify them, and show how, under a deterministic and…
The current definition of rate-induced tipping is tied to the idea of a pullback attractor limiting in forward and backward time to a stable quasi-static equilibrium. Here we propose a new definition that encompasses the standard definition…
The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the possible models, and a measure of the distance between a…
This paper introduces a class of objects called decision rules that map infinite sequences of alternatives to a decision space. These objects can be used to model situations where a decision maker encounters alternatives in a sequence such…
Time evolution of macroscopic systems is re-examined primarily through further analysis and extension of the equation of motion for the density matrix $\rho(t)$. Because $\rho$ contains both classical and quantum-mechanical probabilities it…
Complexity is an interdisciplinary concept which, first of all, addresses the question of how order emerges out of randomness. For many reasons matrices provide a very practical and powerful tool in approaching and quantifying the related…
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…
In this paper, we study the distributionally robust joint chance constrained Markov decision process. {Utilizing the logarithmic transformation technique,} we derive its deterministic reformulation with bi-convex terms under the…
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…
Physical systems that dissipate, mix and develop turbulence also irreversibly transport statistical density. In statistical physics, laws for these processes have a mathematical form and tractability that depends on whether the description…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
We study a family of deterministic models for highway traffic flow which generalize cellular automaton rule 184. This family is parametrized by the speed limit $m$ and another parameter $k$ that represents a ``degree of aggressiveness'' in…
We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions…
In the classical static optimal reinsurance problem, the cost of capital for the insurer's risk exposure determined by a monetary risk measure is minimized over the class of reinsurance treaties represented by increasing Lipschitz retained…
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the…