Related papers: Extended Gini-type measures of risk and variabilit…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
This paper introduces feature subset weighting using monotone measures for distance-based supervised learning. The Choquet integral is used to define a distance metric that incorporates these weights. This integration enables the proposed…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
We extend the duality between exponential integrals and relative entropy to a variational formula for exponential integrals involving the Renyi divergence. This formula characterizes the dependence of risk-sensitive functionals and related…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures verifies the desirable properties such as…
In this paper, we propose a novel association measure for longitudinal studies based on the traditional definition of relative risk. In a Markovian fashion, such a proposal takes into account the information content regarding the previous…
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…
I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the…
Frailty models are essential tools in survival analysis for addressing unobserved heterogeneity and random effects in the data. These models incorporate a random effect, the frailty, which is assumed to impact the hazard rate…
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from Biagini, Fouque, Fritelli and Meyer-Brandis (2019) to graph…
This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of positive definite matrices, we derive several conditional tail…
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…
This paper offers a mathematical invention that shows how to convert integrated quantiles, which often appear in risk measures, into integrated cumulative distribution functions, which are technically more tractable from various…
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We…
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…
To gain insights into the problem of regional inequality, we proposed new regional asset exchange models based on existing kinetic income-exchange models in economic physics. We did this by setting the spatial exchange range and adding bias…
Progression of chronic disease is often manifested by repeated occurrences of disease-related events over time. Delineating the heterogeneity in the risk of such recurrent events can provide valuable scientific insight for guiding…
The dramatic increase of autonomous systems subject to variable environments has given rise to the pressing need to consider risk in both the synthesis and verification of policies for these systems. This paper aims to address a few…