Related papers: A Possibilistic and Probabilistic Approach to Prec…
We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…
Count outcomes in longitudinal studies are frequent in clinical and engineering studies. In frequentist and Bayesian statistical analysis, methods such as Mixed linear models allow the variability or correlation within individuals to be…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
Survival analysis deals with modeling the time until an event occurs, and accurate probability estimates are crucial for decision-making, particularly in the competing-risks setting where multiple events are possible. While recent work has…
Survival models capture the relationship between an accumulating hazard and the occurrence of a singular event stimulated by that accumulation. When the model for the hazard is sufficiently flexible survival models can accommodate a wide…
Possibilistic and qualitative POMDPs (pi-POMDPs) are counterparts of POMDPs used to model situations where the agent's initial belief or observation probabilities are imprecise due to lack of past experiences or insufficient data…
In this article, inspired by Shi, et al. we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under cumulative prospect theory (CPT). Compared with their study, our novelty…
When modelling competing risks survival data, several techniques have been proposed in both the statistical and machine learning literature. State-of-the-art methods have extended classical approaches with more flexible assumptions that can…
In many applications, especially those involving prediction, models may yield near-optimal performance yet significantly disagree on individual-level outcomes. This phenomenon, known as predictive multiplicity, has been formally defined in…
The consumers' willingness to pay plays an important role in economic theory and in setting policy. For a market, this function can often be estimated from observed behavior -- preferences are revealed. However, economists would like to…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In…
Many food products involve mixtures of ingredients, where the mixtures can be expressed as combinations of ingredient proportions. In many cases, the quality and the consumer preference may also depend on the way in which the mixtures are…
The "double descent" risk curve was proposed to qualitatively describe the out-of-sample prediction accuracy of variably-parameterized machine learning models. This article provides a precise mathematical analysis for the shape of this…
We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a non-negativity constraint on portfolio wealth. The…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
Stochastic ordering among distributions has been considered in a variety of scenarios. Economic studies often involve research about the ordering of investment strategies or social welfare. However, as noted in the literature, stochastic…
The option is a financial derivative, which is regularly employed in reducing the risk of its underlying securities. However, investing in option is still risky. Such risk becomes much severer for speculators who utilize option as a means…