Related papers: Risk sharing for capital requirements with multidi…

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…

We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…

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…

We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example that risked equilibria are not unique, even when agents'…

This paper introduces a two-pillar cyber risk management framework to address the pervasive challenges in managing cyber risk. The first pillar, cyber risk assessment, combines insurance frequency-severity models with cybersecurity cascade…

Cyber threats affect all kinds of organisations. Risk analysis is an essential methodology for cybersecurity as it allows organisations to deal with the cyber threats potentially affecting them, prioritise the defence of their assets and…

In today's dynamic and interconnected world, resource constraints pose significant challenges across various domains, ranging from networks, logistics and manufacturing to project management and optimization, etc. Resource-constrained…

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…

We study the mechanism design problem in the setting where agents are rewarded using information only. This problem is motivated by the increasing interest in secure multiparty computation techniques. More specifically, we consider the…

We consider a setting where goods are allocated to agents by way of an allocation platform (e.g., a matching platform). An ``allocation facilitator'' aims to increase the overall utility/social-good of the allocation by encouraging (some of…

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…

We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…

This article considers the problem of risk-optimal allocation of security measures when the actuators of an uncertain control system are under attack. We consider an adversary injecting false data into the actuator channels. The attack…

In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…

This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…

Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…

Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss…

Many scenarios where agents with restrictions compete for resources can be cast as maximum matching problems on bipartite graphs. Our focus is on resource allocation problems where agents may have restrictions that make them incompatible…

An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…

We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled in the constraints. This problem is of interest when it is…