Related papers: Dual representations for systemic risk measures ba…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
We address a general representation problem for belief change, and describe two interrelated representations for iterative non-prioritized change: a logical representation in terms of persistent epistemic states, and a constructive…
We study the problem of constructing positive representations of complex measures. In this paper we consider complex densities on a direct product of $U(1)$ groups and look for representations by probability distributions on the…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
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…
We show how to use aspect-oriented programming to separate security and trust issues from the logical design of mobile, distributed systems. The main challenge is how to enforce various types of security policies, in particular predictive…
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scoring function's components, the resulting risk measure…
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…
We develop a new classification framework based on the theory of coherent risk measures and systemic risk. The proposed approach is suitable for multi-class problems when the data is noisy, scarce (relative to the dimension of the problem),…
We study a general aggregation problem in which a society has to determine its position on each of several issues, based on the positions of the members of the society on those issues. There is a prescribed set of feasible evaluations,…
In this paper, we compare three different model-based risk measures by evaluating their stengths and weaknesses qualitatively and testing them quantitatively on a set of real longitudinal and intersection scenarios. We start with the…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
We consider a setting where an agent's uncertainty is represented by a set of probability measures, rather than a single measure. Measure-bymeasure updating of such a set of measures upon acquiring new information is well-known to suffer…
We use model theoretic techniques to construct explicit first-order axiomatizations for the classes of posets that can be represented as systems of sets, where the order relation is given by inclusion, and existing meets and joins of…
This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…