Related papers: Coherence and elicitability
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…
Financial statement auditing is conducted under a risk-based evidence approach to obtain reasonable assurance. In practice, auditors often perform additional sampling or related procedures when an initial sample does not provide a…
A recurring debate in the philosophy of statistics concerns what, exactly, should count as a measure of evidence for or against a given hypothesis. P-values, likelihood ratios, and Bayes factors all have their defenders. In this paper we…
In this article the issues are discussed with the Bayesian approach, least-square fits, and most-likely fits. Trying to counter these issues, a method, based on weighted confidence, is proposed for estimating probabilities and other…
We introduce a new approach to modeling uncertainty based on plausibility measures. This approach is easily seen to generalize other approaches to modeling uncertainty, such as probability measures, belief functions, and possibility…
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We…
We present a computational method for measuring financial risk by estimating the Value at Risk and Expected Shortfall from financial series. We have made two assumptions: First, that the predictive distributions of the values of an asset…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
Machine learning typically presupposes classical probability theory which implies that aggregation is built upon expectation. There are now multiple reasons to motivate looking at richer alternatives to classical probability theory as a…
In regression analysis, associations between continuous predictors and the outcome are often assumed to be linear. However, modeling the associations as non-linear can improve model fit. Many flexible modeling techniques, like (fractional)…
We analyze the structure of the disagreement among a population of voters over a set of alternatives. Surveys typically ask either for pairwise comparisons, simple and intuitive for participants, or full rankings over alternatives,…
This paper introduces a rule for policy selection in the presence of estimation uncertainty, explicitly accounting for estimation risk. The rule belongs to the class of risk-aware rules on the efficient decision frontier, characterized as…
We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
We address imbalanced classification, the problem in which a label may have low marginal probability relative to other labels, by weighting losses according to the correct class. First, we examine the convergence rates of the expected…
Under appropriate integrability conditions the risk measure of the sample measures for a law invariant risk measure converge almost surely to the risk measure of the sampled random variable. The results follow from general convergence…
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…