Related papers: Spatial risk measures and applications to max-stab…
This paper presents methods for analyzing spatial experiments when complex spillovers, displacement effects, and other types of "interference" are present. We present a robust, design-based approach to analyzing effects in such settings.…
he evaluation of the impact of actions undertaken is essential in management. This paper assesses the impact of efforts considered to mitigate risk and create safe environments on a global scale. We measure this impact by looking at the…
Risk-sensitive planning aims to identify policies maximizing some tail-focused metrics in Markov Decision Processes (MDPs). Such an optimization task can be very costly for the most widely used and interpretable metrics such as threshold…
The use of weather index insurances is subject to spatial basis risk, which arises from the fact that the location of the user's risk exposure is not the same as the location of any of the weather stations where an index can be measured. To…
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…
Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoffs more heavily under a chosen metric and average the…
Rapid and accurate estimation of post-earthquake ground failures and building damage is critical for effective post-disaster responses. Progression in remote sensing technologies has paved the way for rapid acquisition of detailed,…
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…
Constructed facilities should be robust with respect to the loss of load-bearing elements due to abnormal events. Yet, strengthening structures to withstand such damage has a significant impact on construction costs. Strengthening costs…
Market-based instruments such as payments, auctions or tradable permits have been proposed as flexible and cost-effective instruments for biodiversity conservation on private lands. Trading the service of conservation requires one to define…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
In this paper are presented methods of impact analysis on informatics system security accidents, qualitative and quantitative methods, starting with risk and informational system security definitions. It is presented the relationship…
Acquiring information on spatial phenomena can be costly and time-consuming. In this context, to obtain reliable global knowledge, the choice of measurement location is a crucial issue. Space-lling designs are often used to control…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a…
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 develop a method for the evaluation of extreme event statistics associated with nonlinear dynamical systems, using a small number of samples. From an initial dataset of design points, we formulate a sequential strategy that provides the…
It is of growing concern to ensure resilience in power distribution systems to extreme weather events. However, there are no clear methodologies or metrics available for resilience assessment that allows system planners to assess the impact…