Related papers: Value-at-Risk substitute for non-ruin capital is f…
This paper proposes a change in perspective on the ``transformation of values'' problem: from ``searching for a single constant solution'' to ``characterizing the allocation space under objective constraints imposed by the physical…
We study the tradeoff between fundamental risk and time. A time-constrained agent has to solve a problem. She dynamically allocates effort between implementing a risky initial idea and exploring alternatives. Discovering an alternative…
Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are…
Some risks have extremely high stakes. For example, a worldwide pandemic or asteroid impact could potentially kill more than a billion people. Comfortingly, scientific calculations often put very low probabilities on the occurrence of such…
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles…
A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a…
Generally accepted depreciation methods do not compute the intrinsic value of an asset, as they do not factor for the Time Value of Money, a key principle within financial theory. This is disadvantageous, as knowing the intrinsic value of…
The crisis in the reproducibility of experiments invites a re-evaluation of methods of inquiry and validation procedures. The text challenges current assumptions of knowledge acquisition and introduces G-complexity for defining decidable…
This article focuses on the work of O. Chanel and G. Chichilnisky (2013) on the flaws of expected utility theory while assessing the value of life. Expected utility is a fundamental tool in decision theory. However, it does not fit with the…
In recent years, a CRA (Credit Risk Analysis) quantum algorithm with a quadratic speedup over classical analogous methods has been introduced. We propose a new variant of this quantum algorithm with the intent of overcoming some of the most…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
Classically, risk is characterized by a point value probability indicating the likelihood of occurrence of an adverse effect. However, there are domains where the attainability of objective numerical risk characterizations is increasingly…
The literature on optimal reinsurance does not deal with how much the effectiveness of such solutions is degraded by errors in parameters and models. The issue is investigated through both asymptotics and numerical studies. It is shown that…
This review is about the convenience, the benefits, as well as the destructive capacities of money. It deals with various aspects of money creation, with its value, and its appropriation. All sorts of money tend to get corrupted by…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the…
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…