Related papers: Pareto models for risk management

We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…

Risk-sharing is one way to pool risks without the need for a third party. To ensure the attractiveness of such a system, the rule should be accepted and understood by all participants. A desirable risk-sharing rule should fulfill actuarial…

In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…

In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we provide are obtained from concentration inequalities, and…

In the present paper, we discuss contra-arguments concerning the use of Pareto-Lev\'y distributions for modeling in Finance. It appears that such probability laws do not provide sufficient number of outliers observed in real data.…

The Pareto probability distribution is widely applied in different fields such us finance, physics, hydrology, geology and astronomy. This note deals with an application of the Pareto distribution to astrophysics and more precisely to the…

We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic…

We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…

Machine learning applications frequently come with multiple diverse objectives and constraints that can change over time. Accordingly, trained models can be tuned with sets of hyper-parameters that affect their predictive behavior (e.g.,…

A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…

We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…

Pareto front learning is a technique that introduces preference vectors in a neural network to approximate the Pareto front. Previous Pareto front learning methods have demonstrated high performance in approximating simple Pareto fronts.…

A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…

In samples from a heavy-tailed distribution a second-order approximation is often use to approximate the tail function. Based on the parameters of the approximation, an optimal sample fraction can be estimated which is then used to estimate…

We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…

This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…

We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…

We study productivity dispersions across workers, firms and industrial sectors. Empirical study of the Japanese data shows that they all obey the Pareto law, and also that the Pareto index decreases with the level of aggregation. In order…

We consider a Ramsey model with several households with heterogeneous preferences who are able to borrow capital to each other. Since the capital constraints of one household then depends on the others' capital, one can no longer optimize…

In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…