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Conformal risk control (CRC) provides distribution-free guarantees for controlling the expected loss at a user-specified level. Existing theory typically assumes that the loss decreases monotonically with a tuning parameter that governs the…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a…
Compound random measures (CoRM's) are a flexible and tractable framework for vectors of completely random measure. In this paper, we provide conditions to guarantee the existence of a CoRM. Furthermore, we prove some interesting properties…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
Basic quantum information measures involved in the information analysis of quantum systems are considered. It is shown that the main quantum information measurement methods depend on whether the corresponding quantum events are compatible…
Factual consistency is one of important summary evaluation dimensions, especially as summary generation becomes more fluent and coherent. The ESTIME measure, recently proposed specifically for factual consistency, achieves high correlations…
Time series similarity measures are highly relevant in a wide range of emerging applications including training machine learning models, classification, and predictive modeling. Standard similarity measures for time series most often…
The selection of the best classification algorithm for a given dataset is a very widespread problem. It is also a complex one, in the sense it requires to make several important methodological choices. Among them, in this work we focus on…
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are…
We provide a dual characterisation of the weak$^*$-closure of a finite sum of cones in $L^\infty$ adapted to a discrete time filtration $\mathcal{F}_t$: the $t^{th}$ cone in the sum contains bounded random variables that are…
Measurement incompatibility is one of the basic aspects of quantum theory. Here we study the structure of the set of compatible -- i.e. jointly measurable -- measurements. We are interested in whether or not there exist compatible…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
Prediction sets provide a means of quantifying the uncertainty in predictive tasks. Using held out calibration data, conformal prediction and risk control can produce prediction sets that exhibit statistically valid error control in a…
We study the problem of characterizing the expected hitting times for a robust generalization of continuous-time Markov chains. This generalization is based on the theory of imprecise probabilities, and the models with which we work…
We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization…
We study the question, ``For which reals $x$ does there exist a measure $\mu$ such that $x$ is random relative to $\mu$?'' We show that for every nonrecursive $x$, there is a measure which makes $x$ random without concentrating on $x$. We…
Nearly linear recurrences are a generalisation of linear recurrences and are instances of linear time-invariant systems in control theory and linear constraint loops in program analysis. In this paper we formulate the Positivity Problem for…
What are the criteria that a measure of statistical evidence should satisfy? It is argued that a measure of evidence should be consistent. Consistency is an asymptotic criterion: the probability that if a measure of evidence in data…
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We…
Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an…