Related papers: The VAR at Risk
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…
We present a new strategic logic NCHATL that allows for reasoning about norm compliance on concurrent game structures that satisfy anonymity. We represent such game structures compactly, avoiding models that have exponential size in the…
We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic…
Runtime assurance (RTA) addresses the problem of keeping an autonomous system safe while using an untrusted (or experimental) controller. This can be done via logic that explicitly switches between the untrusted controller and a safety…
Autonomous Robotics Systems are inherently safety-critical and have complex safety issues to consider (for example, a safety failure can lead to a safety failure). Before they are deployed, these systems of have to show evidence that they…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
This paper studies the extent to which social capital drives performance in the Chinese venture capital market and explores the trend toward VC syndication in China. First, we propose a hybrid model based on syndicated social networks and…
In this work, I generalize Merton's approach of pricing risky debt to the case where the interest rate risk is modeled by the CIR term structure. Closed form result for pricing the debt is given for the case where the firm value has…
The usual formulas for the fair market valuation of a firm at time $t$ include the profits accruing to the shares at time $t$ from the use of wage or salaried labor in the future. But in employee-owned firms or partnerships, the future…
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (AAIs) are characterized by drifted Brownian motion with both…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
This paper introduces an economic framework to assess optimal longevity risk transfers between institutions, focusing on the interactions between a buyer exposed to long-term longevity risk and a seller offering longevity protection. While…
It is well known that highly volatile control laws, while theoretically optimal for certain systems, are undesirable from an engineering perspective, being generally deleterious to the controlled system. In this article we are concerned…
In the future, AI will increasingly find its way into systems that can potentially cause physical harm to humans. For such safety-critical systems, it must be demonstrated that their residual risk does not exceed what is acceptable. This…
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with…
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation…
By mid 2004, the Basel Committee on Banking Supervision (BCBS) is epected to launch its final recommendations on minimum capital requirements in the banking industry. Although there is the intention to arrive at capital charges which concur…
Whether and how to regulate AI is now a central question of governance. Across academic, policy, and international legal circles, the European Union is widely treated as the normative leader in this space. Its regulatory framework, anchored…
Many real-world systems are composed of interdependent networks that rely on one another. Such networks are typically designed and operated by different entities, who aim at maximizing their own payoffs. There exists a game among these…