Related papers: The VAR at Risk
Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements are an instrument to prevent that creditors incur losses on their…
Revenue sharing contracts between Content Providers (CPs) and Internet Service Providers (ISPs) can act as leverage for enhancing the infrastructure of the Internet. ISPs can be incentivized to make investments in network infrastructure…
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure $\rho$. We make three contributions. First, we introduce the new axiom of sensitivity to large…
Artificial Intelligence (AI) and the regulation thereof is a topic that is increasingly being discussed within various fora. Various proposals have been made in literature for defining regulatory bodies and/or related regulation. In this…
The ability to make optimal decisions under uncertainty remains important across a variety of disciplines from portfolio management to power engineering. This generally implies applying some safety margins on uncertain parameters that may…
I provide a sufficient condition under which a principal does not benefit from committing to a mechanism in economic models represented by a maximisation problem under constraints. These problems include mechanism design, principal-agent…
The artificial intelligence value chain is one of the main concepts underpinning the European legislation on the subject, especially the Artificial Intelligence Act. It is an economic concept that has become a legal one. i.e., a concept of…
The value alignment problem for artificial intelligence (AI) is often framed as a purely technical or normative challenge, sometimes focused on hypothetical future systems. I argue that the problem is better understood as a structural…
It is often claimed that machine learning-based generative AI products will drastically streamline and reduce the cost of legal practice. This enthusiasm assumes lawyers can effectively manage AI's risks. Cases in Australia and elsewhere in…
This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal…
The enterprise value (EV) is a crucial metric in company valuation as it encompasses not only equity but also assets and liabilities, offering a comprehensive measure of total value, especially for companies with diverse capital structures.…
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…
We show that when a third party, the adversary, steps into the two-party setting (agent and operator) of safely interruptible reinforcement learning, a trade-off has to be made between the probability of following the optimal policy in the…
In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for…
In this paper, we investigate the Lambda Value-at-Risk ($\Lambda$VaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for increasing Lambda functions, the robust (i.e., worst-case)…
This paper considers risk-averse learning in convex games involving multiple agents that aim to minimize their individual risk of incurring significantly high costs. Specifically, the agents adopt the conditional value at risk (CVaR) as a…
This paper studies the effects on user welfare of imposing network neutrality, using a game-theoretic model of provider interactions based on a two-sided market framework: we assume that the platform--the last-mile access providers…
Conditional Value at Risk (CVaR) is widely used to account for the preferences of a risk-averse agent in the extreme loss scenarios. To study the effectiveness of randomization in interdiction games with an interdictor that is both risk and…
The neutrality thesis holds that technology cannot be laden with values. This long-standing view has faced critiques, but much of the argumentation against neutrality has focused on traditional, non-smart technologies like bridges and…
A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve…