Related papers: Comonotonic measures of multivariate risks
We introduce the notion of symmetric covariation, which is a new measure of dependence between two components of a symmetric $\alpha$-stable random vector, where the stability parameter $\alpha$ measures the heavy-tailedness of its…
This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
The maximal correlation coefficient is a well-established generalization of the Pearson correlation coefficient for measuring non-linear dependence between random variables. It is appealing from a theoretical standpoint, satisfying…
Existing metrics in competing risks survival analysis such as concordance and accuracy do not evaluate a model's ability to jointly predict the event type and the event time. To address these limitations, we propose a new metric, which we…
We adapt the quasi-monotone method from [2] for composite convex minimization in the stochastic setting. For the proposed numerical scheme we derive the optimal convergence rate in terms of the last iterate, rather than on average as it is…
A recent paper by Cordero-Erausquin and Klartag provides a characterization of the measures $\mu$ on $\R^d$ which can be expressed as the moment measures of suitable convex functions $u$, i.e. are of the form $(\nabla u)\_\\#e^{- u}$ for…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
The operational characterization of quantum coherence is the corner stone in the development of resource theory of coherence. We introduce a new coherence quantifier based on max-relative entropy. We prove that max-relative entropy of…
Motivated by optimal investment problems in mathematical finance, we consider a variational problem of Neyman-Pearson type for law-invariant robust utility functionals and convex risk measures. Explicit solutions are found for…
Coherence theorems for covariant structures carried by a category have traditionally relied on the underlying term rewriting system of the structure being terminating and confluent. While this holds in a variety of cases, it is not a…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
We introduce a functor of functionals which preserve maximum of comonotone functions and addition of constants. This functor is a subfunctor of the functor of order-preserving functionals and contains the idempotent measure functor as…
We consider the modified Monge-Kantorovich problem with additional restriction: admissible transport plans must vanish on some fixed functional subspace. Different choice of the subspace leads to different additional properties optimal…
In this paper, we develop a novel unified methodology for performance and robustness analysis of linear dynamical networks. We introduce the notion of systemic measures for the class of first--order linear consensus networks. We classify…
Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each risk constraint induces an uncertainty set of coefficients,…
This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some…
The purpose of this paper is to describe and extend the use of the newly-introduced measure, residual estimation risk. Following the seminal work of Bignozzi and Tsanakas, the quantification of residual estimation risk is proposed in a…
The problem of testing changes in covariance has received increasing attention in recent years, especially in the context of high-dimensional testing. A number of approaches have been proposed, all limited to the two-sample problem and…
We generalize the strategy presented in Refs. [1, 2], and propose general conditions for a measure of total correlations to be an entanglement monotone using its pure (and mixed) convex-roof extension. In so doing, we derive crucial…