Related papers: Catastrophe, Compounding & Consistency in Choice

This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional Euler contributions from an expectation conditional on an…

We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…

Major Adverse Cardiovascular Events (MACE) remain the leading cause of mortality globally, as reported in the Global Disease Burden Study 2021. Opportunistic screening leverages data collected from routine health check-ups and multimodal…

Most risk analysis models systematically underestimate the probability and impact of catastrophic events (e.g., economic crises, natural disasters, and terrorism) by not taking into account interconnectivity and interdependence of risks. To…

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of…

In observational studies, potential unobserved confounding is a major barrier in isolating the average causal effect (ACE). In these scenarios, two main approaches are often used: confounder adjustment for causality (CAC) and instrumental…

We propose a sigmoidal approximation for the value-at-risk (that we call SigVaR) and we use this approximation to tackle nonlinear programs (NLPs) with chance constraints. We prove that the approximation is conservative and that the level…

In this paper, we introduce a new causal methodology that accounts for the rarity and frequency of events in observational studies based on their relevance to the underlying problem. Specifically, we propose a direct causal effect metric…

Survival Analysis (SA) constitutes the default method for time-to-event modeling due to its ability to estimate event probabilities of sparsely occurring events over time. In this work, we show how to improve the training and inference of…

In a chance constrained program (CCP), the decision-makers aim to seek the best decision whose probability of violating the uncertainty constraints is within the prespecified risk level. As a CCP is often nonconvex and is difficult to solve…

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…

In this paper, we study a novel episodic risk-sensitive Reinforcement Learning (RL) problem, named Iterated CVaR RL, which aims to maximize the tail of the reward-to-go at each step, and focuses on tightly controlling the risk of getting…

Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning…

This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process. This problem is particularly challenging due to the…

The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions. This is of…

Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…

Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…

The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk measures. In particular, the Tail Value-at-Risk (TVaR) and…

This paper studies mean-risk portfolio optimization models using the conditional value-at-risk (CVaR) as a risk measure. We also employ a cardinality constraint for limiting the number of invested assets. Solving such a…

The Stochastic Shortest Path (SSP) problem models probabilistic sequential-decision problems where an agent must pursue a goal while minimizing a cost function. Because of the probabilistic dynamics, it is desired to have a cost function…