Related papers: The VAR at Risk
This paper presents a formal and comprehensive reasoning framework for robot motion risk, with a focus on locomotion in challenging unstructured or confined environments. Risk which locomoting robots face in physical spaces was not formally…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log…
We develop a risk-averse safety analysis method for stochastic systems on discrete infinite time horizons. Our method quantifies the notion of risk for a control system in terms of the severity of a harmful random outcome in a fraction of…
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations,…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
This paper addresses a critical gap in the risk assessment of AI-enabled safety-critical systems. While these systems, where AI systems assists human operators, function as complex socio-technical systems, existing risk evaluation methods…
The rise of artificial intelligence (A.I.) based systems is already offering substantial benefits to the society as a whole. However, these systems may also enclose potential conflicts and unintended consequences. Notably, people will tend…
In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process,…
Risk assessment algorithms are being adopted by public sector agencies to make high-stakes decisions about human lives. Algorithms model "risk" based on individual client characteristics to identify clients most in need. However, this…
We study Bayesian persuasion when the receiver evaluates actions by reward-side Conditional Value-at-Risk (CVaR) rather than expected utility. CVaR preferences break the standard action-based direct-recommendation reduction: merging signals…
Strategic behaviour is one of the main explanations for cost overruns. It can theoretically be supported by agency theory, in which strategic behaviour is the result of asymmetric information between the principal and agent. This paper…
Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents.…
This chapter introduces a conceptual framework for qualitative risk assessment of AI, particularly in the context of the EU AI Act. The framework addresses the complexities of legal compliance and fundamental rights protection by itegrating…
In this paper we provide three new results axiomatizing the core of games in characteristic function form (not necessarily having transferable utility) obeying an innocuous condition (that the set of individually rational pay-off vectors is…
This paper deals with strong structural controllability of linear systems. In contrast to existing work, the structured systems studied in this paper have a so-called zero/nonzero/arbitrary structure, which means that some of the entries…
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option…
We study an axiomatic framework for anonymized risk sharing. In contrast to traditional risk sharing settings, our framework requires no information on preferences, identities, private operations and realized losses from the individual…
We study the risks of validator reuse across multiple services in a restaking protocol. We characterize the robust security of a restaking network as a function of the buffer between the costs and profits from attacks. For example, our…