Related papers: Risk Quantization by Magnitude and Propensity
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…
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…
We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors…
We propose a method to characterize and quantify multipartite entanglement for pure states. The method hinges upon the study of the probability density function of bipartite entanglement and is tested on an ensemble of qubits in a variety…
In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, we first consider a distributional uncertainty set which is…
In this paper we study the asymptotic properties of Bayesian multiple testing procedures for a large class of Gaussian scale mixture pri- ors. We study two types of multiple testing risks: a Bayesian risk proposed in Bogdan et al. (2011)…
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spectral risk measure and the Value-at-Risk in the mean-variance…
This article offers a simplified approach to the distribution theory of randomly weighted averages or $P$-means $M_P(X):= \sum_{j} X_j P_j$, for a sequence of i.i.d.random variables $X, X_1, X_2, \ldots$, and independent random weights $P:=…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
Recently, Halpern and Leung suggested representing uncertainty by a weighted set of probability measures, and suggested a way of making decisions based on this representation of uncertainty: maximizing weighted regret. Their paper does not…
We develop a notion of projections between sets of probability measures using the geometric properties of the 2-Wasserstein space. It is designed for general multivariate probability measures, is computationally efficient to implement, and…
We consider the problems of estimation and optimization of two popular convex risk measures: utility-based shortfall risk (UBSR) and Optimized Certainty Equivalent (OCE) risk. We extend these risk measures to cover possibly unbounded random…
We introduce a concept of porosity for measures and study relations between dimensions and porosities for two classes of measures: measures on $R^n$ which satisfy the doubling condition and strongly porous measures on $R$.
A common feature of methods for analyzing samples of probability density functions is that they respect the geometry inherent to the space of densities. Once a metric is specified for this space, the Fr\'echet mean is typically used to…
Survival outcomes are common in comparative effectiveness studies and require unique handling because they are usually incompletely observed due to right-censoring. A ``once for all'' approach for causal inference with survival outcomes…
Probability Quantification (PQ) predictions of the efficacy of safety-critical protective systems is challenging. Yet, the popularity of PQ methodologies (e.g., Probabilistic Risk Assessment (PRA), Quantitative Risk Analysis (QRA) and…
Assume that we observe i.i.d.~points lying close to some unknown $d$-dimensional $\mathcal{C}^k$ submanifold $M$ in a possibly high-dimensional space. We study the problem of reconstructing the probability distribution generating the…
A measure of complexity based on a probabilistic description of physical systems is proposed. This measure incorporates the main features of the intuitive notion of such a magnitude. It can be applied to many physical situations and to…
Propensity score weighting is a common method for estimating treatment effects with survey data. The method is applied to minimize confounding using measured covariates that are often different between individuals in treatment and control.…
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoffs more heavily under a chosen metric and average the…