Related papers: The Temporal Dimension of Risk

We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…

This paper presents a probabilistic model for reasoning about the state of a system as it changes over time, both due to exogenous and endogenous influences. Our target domain is a class of medical prediction problems that are neither so…

We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…

We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk measures and set-valued risk measures and yields a natural…

Lehmann's ideas on concepts of dependence have had a profound effect on mathematical theory of reliability. The aim of this paper is two-fold. The first is to show how the notion of a ``hazard potential'' can provide an explanation for the…

In this paper, we propose a novel association measure for longitudinal studies based on the traditional definition of relative risk. In a Markovian fashion, such a proposal takes into account the information content regarding the previous…

One of the crucial steps in scientific studies is to specify dependent relationships among factors in a system of interest. Given little knowledge of a system, can we characterize the underlying dependent relationships through observation…

We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…

Policy mirror descent (PMD) is a general policy optimization framework in reinforcement learning, which can cover a wide range of typical policy optimization methods by specifying different mirror maps. Existing analysis of PMD requires…

In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…

Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a…

The hazard ratio, typically estimated using Cox's famous proportional hazards model, is the most common effect measure used to describe the association or effect of a covariate on a time-to-event outcome. In recent years the hazard ratio…

We study the use of Temporal-Difference learning for estimating the structural parameters in dynamic discrete choice models. Our algorithms are based on the conditional choice probability approach but use functional approximations to…

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 set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…

We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…

Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…

Time irreversibility, which characterizes nonequilibrium processes, can be measured based on the probabilistic differences between symmetric vectors. To simplify the quantification of time irreversibility, symmetric permutations instead of…