Related papers: Ordering and Inequalities for Mixtures on Risk Agg…
How should a risk-averse newsvendor order optimally under distributional ambiguity? Attempts to extend Scarf's celebrated distribution-free ordering rule using risk measures have led to conflicting prescriptions: CVaR-based models…
In many real-world prediction tasks, class labels contain information about the relative order between labels that are not captured by commonly used loss functions such as multicategory cross-entropy. Recently, the preference for unimodal…
Order statistics theory is applied in this paper to probabilistic robust control theory to compute the minimum sample size needed to come up with a reliable estimate of an uncertain quantity under continuity assumption of the related…
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…
Fractional equations have become the model of choice in several applications where heterogeneities at the microstructure result in anomalous diffusive behavior at the macroscale. In this work we introduce a new fractional operator…
Calibration is a vital aspect of the performance of risk prediction models, but research in the context of ordinal outcomes is scarce. This study compared calibration measures for risk models predicting a discrete ordinal outcome, and…
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…
In this paper, we consider robust control using randomized algorithms. We extend the existing order statistics distribution theory to the general case in which the distribution of population is not assumed to be continuous and the order…
In this short note we provide an elementary proof that a certain type of nonuniform sequential Doeblin minorization condition implies non-uniform sequential "geometric" ergodicity. Using this result several limit theorems for inhomogeneous…
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve…
Disorder and homogeneity are two concepts that refer to spatial variation of the system potential. In condensed-matter systems disorder is typically divided into two types; those with local parameters varying from site to site (diagonal…
A central question in risk analysis is to identify the factors that drive the system toward a specific hazardous outcome, such as the exceedance of a given threshold. When relying on numerical simulators, we propose to study the…
In this paper, we provide extended convolution bounds for the Fr\'{e}chet problem and discuss related implications in quantitative risk management. First, we establish a new form of inequality for the Range-Value-at-Risk (RVaR). Based on…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
Majorization uncertainty relations are generalized for an arbitrary mixed quantum state $\rho$ of a finite size $N$. In particular, a lower bound for the sum of two entropies characterizing probability distributions corresponding to…
It is known that individuals in social networks tend to exhibit homophily (a.k.a. assortative mixing) in their social ties, which implies that they prefer bonding with others of their own kind. But what are the reasons for this phenomenon?…
We investigate the role of degree correlation among nodes on the stability of complex networks, by studying spectral properties of randomly weighted matrices constructed from directed Erd\"{o}s-R\'enyi and scale-free random graph models. We…
The stochastic comparisons of parallel and series system are worthy of study. In this paper, we present some stochastic comparisons of parallel and series systems having independent components from Gumble distribution with two parameters…
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been…
A general relation for the dependence of nearest neighbor degree correlations on degree is derived. Dependence of local clustering on degree is shown to be the sole determining factor of assortative versus disassortative mixing in networks.…