Related papers: Fair Estimation of Capital Risk Allocation

Fair resource allocation is a fundamental optimization problem with applications in operations research, networking, and economic and game theory. Research in these areas has led to the general acceptance of a class of $\alpha$-fair utility…

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…

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…

In this paper, we study the prediction of a real-valued target, such as a risk score or recidivism rate, while guaranteeing a quantitative notion of fairness with respect to a protected attribute such as gender or race. We call this class…

Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived,…

Recent work on algorithmic fairness has largely focused on the fairness of discrete decisions, or classifications. While such decisions are often based on risk score models, the fairness of the risk models themselves has received…

There is increasing attention to evaluating the fairness of search system ranking decisions. These metrics often consider the membership of items to particular groups, often identified using protected attributes such as gender or ethnicity.…

The allocation of resources among multiple agents is a fundamental problem in both economics and computer science. In these settings, fairness plays a crucial role in ensuring social acceptability and practical implementation of resource…

This paper introduces a framework for estimating fair optimal predictions using machine learning where the notion of fairness can be quantified using path-specific causal effects. We use a recently developed approach based on Lagrange…

We propose a new family of fairness definitions for classification problems that combine some of the best properties of both statistical and individual notions of fairness. We posit not only a distribution over individuals, but also a…

The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…

Given a reference risk measure, the risk budgeting is the portfolio where each asset contributes a predetermined amount to the total risk. We propose a novel approach, alternative to the ones proposed in the literature, for the calculation…

We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distribution, given through probabilities, correlations and the…

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of…

For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…

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 introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…

This paper introduces marginal fairness, a new individual fairness notion for equitable decision-making in the presence of protected attributes such as gender, race, and religion. This criterion ensures that decisions based on generalized…

We consider the task of evaluating policies of algorithmic resource allocation through randomized controlled trials (RCTs). Such policies are tasked with optimizing the utilization of limited intervention resources, with the goal of…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…