Related papers: Comonotonic measures of multivariate risks
We consider covariance asymptotics for linear statistics of general stationary random measures in terms of their truncated pair correlation measure. We give exact infinite series-expansion formulas for covariance of smooth statistics of…
The comonotonic maxitivity property of functionals frequently appears in the characterization of fuzzy integrals based on the maximum operation. In some special cases, comonotonic maxitivity implies monotonicity of functionals. The question…
In this paper, we consider a situation where a decision maker's (DM's) risk preference can be described by a spectral risk measure (SRM) but there is not a single SRM which can be used to represent the DM's preferences consistently.…
In a Hilbert framework, we consider an inertial Tikhonov regularized dynamical system governed by a maximally comonotone operator, where the damping coefficient is proportional to the square root of the Tikhonov regularization parameter.…
We explore the consequences of a set of axioms which extend Scarsini's axioms for bivariate measures of concordance to the multivariate case and exhibit the following results: (1) A method of extending measures of concordance from the…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…
We study the non-parametric isotonic regression problem for bivariate elicitable functionals that are given as an elicitable univariate functional and its Bayes risk. Prominent examples for functionals of this type are (mean, variance) and…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our results extend well-known results from the literature to a large class of spaces of random variables. We…
Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…
Two acts are comonotonic if they yield high payoffs in the same states of nature. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The…
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…
In this article we show how ideas, methods and results from optimal transportation can be used to study various aspects of the stationary measuresof Iterated Function Systems equipped with a probability distribution. We recover a classical…
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…
We study optimal mass transport problems between two measures with respect to a non-traditional cost function, i.e. a cost $c$ which can attain the value $+\infty$. We define the notion of $c$-compatibility and strong-$c$-compatibility of…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk…