Related papers: Monetary Measures of Risk
In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, we first consider a distributional uncertainty set which is…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
A popular Bayesian nonparametric approach to survival analysis consists in modeling hazard rates as kernel mixtures driven by a completely random measure. In this paper we derive asymptotic results for linear and quadratic functionals of…
Motivated by optimal investment problems in mathematical finance, we consider a variational problem of Neyman-Pearson type for law-invariant robust utility functionals and convex risk measures. Explicit solutions are found for…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined by a parametric recourse problem and a quantification of…
An intuitive probabilistic alternative for the construction of the Martin boundary is presented along with a construction of maximal representing measures for positive harmonic functions.
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents a theoretical utopia. Furthermore, significant risk…
In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk measures, this paper investigates the representation theorems…
In the present paper we study quantile risk measures and their domain. Our starting point is that, for a probability measure $ Q $ on the open unit interval and a wide class $ \mathcal{L}_Q $ of random variables, we define the quantile risk…
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio,…
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution…
Marginal structural models were introduced in order to provide estimates of causal effects from interventions based on observational studies in epidemiological research. The key point is that this can be understood in terms of Girsanov's…
A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are given by d-dimensional vectors. They…
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
This is an invited article for the Discussion and Debate special issue of The European Physical Journal Special Topics on the subject "Can Economics Be a Physical Science?" The first part of the paper traces the personal path of the author…
Recent empirical and theoretical analyses of several commonly used prediction procedures reveal a peculiar risk behavior in high dimensions, referred to as double/multiple descent, in which the asymptotic risk is a non-monotonic function of…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…