Related papers: Value at risk and the diversification dogma
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, such as variance. We show that it is…
Link recommendation, which recommends links to connect unlinked online social network users, is a fundamental social network analytics problem with ample business implications. Existing link recommendation methods tend to recommend similar…
Artificial intelligence risks are multidimensional in nature, as the same risk scenarios may have legal, operational, and financial risk dimensions. With the emergence of new AI regulations, the state of the art of artificial intelligence…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
Scientific discovery is shaped by scientists' choices and thus by their career patterns. The increasing knowledge required to work at the frontier of science makes it harder for an individual to embark on unexplored paths. Yet…
We study the design of an optimal insurance contract in which the insured maximizes her expected utility and the insurer limits the variance of his risk exposure while maintaining the principle of indemnity and charging the premium…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
Current practice for evaluating recommender systems typically focuses on point estimates of user-oriented effectiveness metrics or business metrics, sometimes combined with additional metrics for considerations such as diversity and…
Risk assessment instruments are used across the criminal justice system to estimate the probability of some future behavior given covariates. The estimated probabilities are then used in making decisions at the individual level. In the…
An important issue in concurrency is interference. This issue manifests itself in both shared-variable and communication-based concurrency --- this paper focusses on the former case where interference is caused by the environment of a…
Non-deductive reasoning systems are often {\em representation dependent}: representing the same situation in two different ways may cause such a system to return two different answers. Some have viewed this as a significant problem. For…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
We survey a variety of possible explications of the term "Individual Risk." These in turn are based on a variety of interpretations of "Probability," including Classical, Enumerative, Frequency, Formal, Metaphysical, Personal, Propensity,…
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…
Weather parametric insurance relies on weather indices rather than actual loss assessments, enhancing claims efficiency, reducing moral hazard, and improving fairness. In the context of increasing climate change risks, despite growing…
Determining design principles that boost robustness of interdependent networks is a fundamental question of engineering, economics, and biology. It is known that maximizing the degree correlation between replicas of the same node leads to…
We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…