Related papers: Spectral Risk Measures: Properties and Limitations
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional…
In the present paper we study quantile risk measures and their domain. Our starting point is that, for a probability measure $ Q $ on the open unit interval and a wide class $ \mathcal{L}_Q $ of random variables, we define the quantile risk…
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 standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex…
Reliability prediction is crucial for ensuring the safety and security of software systems, especially in the context of industry practices. While various metrics and measurements are employed to assess software reliability, the complexity…
It is of growing concern to ensure the resilience in electricity infrastructure systems to extreme weather events with the help of appropriate hardening measures and new operational procedures. An effective mitigation strategy requires a…
Risk is a fundamental consideration when designing electronic systems. For most systems a view of risk can assist in setting design objectives, whereas both a qualitative and quantitative understanding of risk is mandatory when considering…
Risk management often plays an important role in decision making under uncertainty. In quantitative risk management, assessing and optimizing risk metrics requires efficient computing techniques and reliable theoretical guarantees. In this…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
Recently, attempts have been made to take into account the fractal properties of seismicity when mapping the long-term rate of earthquakes. The paper touches upon the theoretical aspects of fractality and provides a critical analysis of its…
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…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit…
Secure resource management (SRM) within a cloud computing environment is a critical yet infrequently studied research topic. This paper provides a comprehensive survey and comparative performance evaluation of potential cyber threat…
We study the problem of monitoring model performance in dynamic environments where labeled data are limited. To this end, we propose prediction-powered risk monitoring (PPRM), a semi-supervised risk-monitoring approach based on…
This study explores the limitations of image-based structural health monitoring (SHM) techniques in detecting structural damage. Leveraging machine learning and computer vision, image-based SHM offers a scalable and efficient alternative to…
Most engineers use measurements to make decisions. However, measurements are rarely used for decisions about constructing software products. While many approaches to measuring attributes of software (``metrics'') have been developed, they…
Applying software defect esimation techniques and presenting this information in a compact and impactful decision table can clearly illustrate to collaborative groups how critical this position is in the overall development cycle. The Test…
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying…
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…