Related papers: Dual Moments and Risk Attitudes
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead 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…
Prediction models are used amongst others to inform medical decisions on interventions. Typically, individuals with high risks of adverse outcomes are advised to undergo an intervention while those at low risk are advised to refrain from…
Two approaches to hypothesis testing, e-value testing and Bayes risk minimisation, both invoke Markov's inequality to control error probabilities. They differ in which distribution certifies the unit-moment condition: the null for Type I…
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined by a parametric recourse problem and a quantification of…
In the vicinity of the onset of an instability, we investigate the effect of colored multiplicative noise on the scaling of the moments of the unstable mode amplitude. We introduce a family of zero dimensional models for which we can…
Principal Moment Analysis is a method designed for dimension reduction, analysis and visualization of high dimensional multivariate data. It generalizes Principal Component Analysis and allows for significant statistical modeling…
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both…
Probabilistic rounding error analysis can yield much sharper bounds than classical worst-case theory, but existing results typically rely on zero-mean rounding errors and often leave the confidence parameter implicit. This work revisits…
It is common to use minimax rules to make decisions for planning when there is great uncertainty on what will happen in the future. Minimax regret is one popular version of this. We give an analysis of the behaviour of minimax rules in the…
Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement. The risk contribution of a portfolio, e.g., in the Euler or Aumann-Shapley framework, is given by the partial derivatives of a risk…
Confidence intervals are central to statistical inference as a tool to evaluate the type I error risk at a given significance level. We devise a method to construct confidence intervals using a single run of a permutation test. This…
In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are…
We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
There is growing interest in the role of sentiment in economic decision-making. However, most research on the subject has focused on positive and negative valence. Conviction Narrative Theory (CNT) places Approach and Avoidance sentiment…
Generalized moment problems optimize functional expectation over a class of distributions with generalized moment constraints, i.e., the function in the moment can be any measurable function. These problems have recently attracted growing…
The out-of-equilibrium character of active particles, responsible for accumulation at boundaries in confining domains, determines not-trivial effects when considering escape processes. Non-monotonous behavior of exit times with respect to…