Related papers: Star-shaped acceptability indexes
It is known that each symmetric stable distribution in $R^d$ is related to a norm on $R^d$ that makes $R^d$ embeddable in $L_p([0,1])$. In case of a multivariate Cauchy distribution the unit ball in this norm corresponds is the polar set to…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
Stochastic ordering among distributions has been considered in a variety of scenarios. Economic studies often involve research about the ordering of investment strategies or social welfare. However, as noted in the literature, stochastic…
We establish metastability in the sense of Lebowitz and Penrose under practical and simple hypothesis for (families of) Markov chains on finite configuration space in some asymptotic regime, including the case of configuration space size…
We review our recent results on a unified normal mode approach to dynamic tides proposed in Ivanov, Papaloizou $\&$ Chernov (2013) and Chernov, Papaloizou $\&$ Ivanov (2013). Our formalism can be used whenever the tidal interactions are…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
It has become increasingly easy nowadays to collect approximate posterior samples via fast algorithms such as variational Bayes, but concerns exist about the estimation accuracy. It is tempting to build solutions that exploit approximate…
Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various…
In the present paper, we discuss several basic properties of a class of quasiconformal close-to-convex harmonic mappings with starlike analytic part, such results as coefficient inequalities, an integral representation, a growth theorem, an…
The attributable risk, often called the population attributable risk, is in many epidemiological contexts a more relevant measure of exposure-disease association than the excess risk, relative risk, or odds ratio. When estimating…
A simple classification is given of the anisotropic relativistic star models, resembling the one of charged isotropic solutions. On the ground of this database, and taking into account the conditions for physically realistic star models, a…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Credit ratings are widely used by investors as a screening device. We introduce and study several natural notions of risk consistency that promote prudent investment decisions in the framework of Choquet rating criteria. Three closely…
In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…