Related papers: Spectral Risk Measures and the Choice of Risk Aver…
This paper features expectiles in dynamic and stochastic optimization. Expectiles are a family of risk functionals characterized as minimizers of optimization problems. For this reason, they enjoy various unique stability properties, which…
Risk behavior can have substantial consequences for health, well-being, and functioning. Previous studies have shown an association between real-world risk behavior and risk behavior on experimental tasks, such as the Columbia Card Task,…
The utility-based shortfall risk (SR) measure introduced by Folmer and Schied [15] has been recently extended by Mao and Cai [29] to cumulative prospect theory (CPT) based SR in order to better capture a decision maker's utility/risk…
In the hypothesis of rare loss events, the general expression of the policy value has been determined as a functional of the "expected frequency / loss severity" function and of the retention function. Exponential disutility has been chosen…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…
Stratifying factors, like age and gender, can modify the effect of treatments and exposures on risk of a studied outcome. Several effect measures, including the relative risk, hazard ratio, odds ratio, and risk difference, can be used to…
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…
Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
The approximation of smooth functions with a spectral basis typically leads to rapidly decaying coefficients where the rate of decay depends on the smoothness of the function and vice-versa. The optimal number of degrees of freedom in the…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
In the recent development in a various disciplines of physics, it is noted the need for including the deformed versions of the exponential functions. In this paper, we consider the deformations which have two purposes: to have them like…
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures…
Real-world engineering systems are typically compared and contrasted using multiple metrics. For practical machine learning systems, performance tuning is often more nuanced than minimizing a single expected loss objective, and it may be…
In this paper we shall consider some famous means such as arithmetic, harmonic, geometric, root square mean, etc. Considering the difference of these means, we can establish. some inequalities among them. Interestingly, the difference of…
We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserved) company…
This paper is devoted to the study of the second-order variational analysis of spectral functions. It is well-known that spectral functions can be expressed as a composite function of symmetric functions and eigenvalue functions. We…
This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties…
Disorder-driven, integrated speckle spectrometers offer exceptional spectral resolution within a compact design. They benefit from enhanced optical path lengths due to multiple light scattering events, however, often at the cost of low…
When does reputation make experts play it safe, and what policy reverses that? I isolate a single lever - visibility of outcomes. In a two-page model with binary signals and outcomes, I show: (i) with an uninformative safe option and…