Related papers: A Possibilistic and Probabilistic Approach to Prec…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
For personalized ranking models, the well-calibrated probability of an item being preferred by a user has great practical value. While existing work shows promising results in image classification, probability calibration has not been much…
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of money owned in her life in order that her economic level…
Unlike previous studies on mixture distributions, a bagging and boosting based convexly combined mixture probabilistic model has been suggested. This model is a result of iteratively searching for obtaining the optimum probabilistic model…
Survival analysis is a widely-used technique for analyzing time-to-event data in the presence of censoring. In recent years, numerous survival analysis methods have emerged which scale to large datasets and relax traditional assumptions…
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…
Being cautious is crucial for enhancing the trustworthiness of machine learning systems integrated into decision-making pipelines. Although calibrated probabilities help in optimal decision-making, perfect calibration remains unattainable,…
Combining efficient and safe control for safety-critical systems is challenging. Robust methods may be overly conservative, whereas probabilistic controllers require a trade-off between efficiency and safety. In this work, we propose a…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
Consider an agent taking two successive decisions to maximize his expected utility under uncertainty. After his first decision, a signal is revealed that provides information about the state of nature. The observation of the signal allows…
We introduce a simple but effective method for managing risk in model-based reinforcement learning with trajectory sampling that involves probabilistic safety constraints and balancing of optimism in the face of epistemic uncertainty and…
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an…
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute the worst case average value at risk in the face of tail…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
Higher cumulants of conserved charges are sensitive observables of quantum chromodynamics phase transitions. The sample of mixed events provides a background to estimate non-critical effects of cumulants. Four possible methods for…
This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
Prize linked savings accounts provide a return in the form of randomly chosen accounts receiving large cash prizes, in lieu of a guaranteed and uniform interest rate. This model became legal for American national banks upon bipartisan…