Related papers: Weak comonotonicity
We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined by Delbaen. In a…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus 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…
Methods which aim at universal applicability must be able to describe both weak and strong electronic correlation with equal facility. Such methods are in short supply. The combination of symmetry projection for strong correlation and…
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…
Combinatorial mixed valuations associated to translation-invariant valuations on polytopes are introduced. In contrast to the construction of mixed valuations via polarization, combinatorial mixed valuations reflect and often inherit…
Combining the increasing availability and abundance of healthcare data and the current advances in machine learning methods have created renewed opportunities to improve clinical decision support systems. However, in healthcare risk…
We revisit the classical monotone-follower problem and consider it in a generalized formulation. Our approach is based on a compactness substitute for nondecreasing processes, the Meyer-Zheng weak convergence, and the maximum principle of…
Weak convergence of probability measures is one of the most important topics in the field probability and statistics. In this survey paper, we look at weak convergence of probability measures from the topological vector space point of view.…
This article establishes the existence of weak solutions for a class of mixed local-nonlocal problems with pure and perturbed singular nonlinearities. A key novelty is the treatment of variable singular exponents alongside measure-valued…
In search of a meaningful 2-dimensional analog to mono- tonicity, we introduce two new definitions and give examples of and dis- cuss the relationship between these definitions and others that we found in the literature. Note: After we…
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
We establish a set of relations between several quite diverse types of weighted inequalities involving various integral operators and fairly general quasinorm-like functionals which we call sub-monotone. The main result enables one to solve…
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…
Complex engineered systems require coordinated design choices across heterogeneous components under multiple conflicting objectives and uncertain specifications. Monotone co-design provides a compositional framework for such problems by…
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…
This survey on stationary and evolutionary problems with gradient constraints is based on developments of monotonicity and compactness methods applied to large classes of scalar and vectorial solutions to variational and quasi-variational…
Efforts to apply economic complexity to identify diversification opportunities often rely on diagrams comparing the relatedness and complexity or products, technologies, or industries. Yer, the use of these diagrams is not based on…