Related papers: Monitoring dates of maximal risk

We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain…

Our machines, products, utilities, and environments have long been monitored by embedded software systems. Our professional, commercial, social and personal lives are also subject to monitoring as they are mediated by software systems. Data…

Runtime Verification deals with the question of whether a run of a system adheres to its specification. This paper studies runtime verification in the presence of partial knowledge about the observed run, particularly where input values may…

Dynamic spectral risk measures define a claim's valuation bounds as supremum and infimum of expectations of the claim's payoff over a dominated set of measures. The measures at which such extrema are attained are called extreme measures. We…

The ubiquitous reliance on software systems increases the need for ensuring that systems behave correctly and are well protected against security risks. Runtime enforcement is a dynamic analysis technique that utilizes software monitors to…

In the first part of the paper, we consider a discrete-time stochastic control system. We show that, under certain conditions, the set of random occupational measures generated by the state-control trajectories of the system as well as the…

In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of…

In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. First, some results are provided on the dual representation of…

The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…

The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change…

Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…

In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…

Prescriptive process monitoring methods seek to optimize the performance of business processes by triggering interventions at runtime, thereby increasing the probability of positive case outcomes. These interventions are triggered according…

Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach…

Prescriptive process monitoring is a family of techniques to optimize the performance of a business process by triggering interventions at runtime. Existing prescriptive process monitoring techniques assume that the number of interventions…

Prescriptive process monitoring methods seek to improve the performance of a process by selectively triggering interventions at runtime (e.g., offering a discount to a customer) to increase the probability of a desired case outcome (e.g., a…

We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…

Runtime verification, also known as runtime monitoring, consists of checking whether a system satisfies a given specification by observing the trace it produces during its execution. It is used as a lightweight verification technique to…

In this paper, we refine and generalize closed forms for worst-case law invariant convex risk measures with uncertainty sets based on: i) closed balls under $p$-norms and Wasserstein distance; and ii) moment constraints involving mean and…