Related papers: On Quantile Risk Measures and Their Domain
We propose a novel approach to quantify quantum coherence which, contrary to the previous ones, does not rely on resource theory but rather on ontological considerations. In this framework, coherence is understood as the ability for a…
It is proposed a possible new approach of quantum measurements (QMS), disconnected of the traditional interpretation of uncertainty relations and independent of any appeal to the strange idea of collapse (reduction) of wave functions. The…
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…
We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…
We propose a novel approach in the assessment of a random risk variable $X$ by introducing magnitude-propensity risk measures $(m_X,p_X)$. This bivariate measure intends to account for the dual aspect of risk, where the magnitudes $x$ of…
Quantile is an important risk measure quantifying the stochastic system random behaviors. This paper studies a pooled quantile estimator, which is the sample quantile of detailed simulation outputs after directly pooling independent sample…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…
The history based formalism known as Quantum Measure Theory (QMT) generalizes the concept of probability-measure so as to incorporate quantum interference. The resulting \textit{quantum measure} $\mu$ is defined for arbitrary events (sets…
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…
A rigorous general definition of quantum probability is given, which is valid for elementary events and for composite events, for operationally testable measurements as well as for inconclusive measurements, and also for non-commuting…
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk…
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
The uncertainty associated with probing the quantum state is expressed as the effective abundance (measure) of possibilities for its collapse. New kinds of uncertainty limits entailed by quantum description of the physical system arise in…
Quantization for a Borel probability measure refers to the idea of estimating a given probability by a discrete probability with support containing a finite number of elements. If in the quantization some of the elements in the support are…
Theory of quantum measurements is often classified as decision theory. An event in decision theory corresponds to the measurement of an observable. This analogy looks clear for operationally testable simple events. However, the situation is…
Quantum measurements are not deterministic. For this reason quantum measurements are repeated for a number of shots on identically prepared systems. The uncertainty in each measurement depends on the number of shots and the expected outcome…
Rigorous guarantees about the performance of predictive algorithms are necessary in order to ensure their responsible use. Previous work has largely focused on bounding the expected loss of a predictor, but this is not sufficient in many…
The outcomes of a series of measurements, made on a quantum system, form a sequence of random events which occur in a particular order. The system, together with a meter or meters, can be seen as following the paths of a stochastic network…