Related papers: Star-Shaped deviations
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes…
We propose STARS, a randomized derivative-free algorithm for unconstrained optimization when the function evaluations are contaminated with random noise. STARS takes dynamic, noise-adjusted smoothing step-sizes that minimize the…
Stars are not perfectly spherically symmetric. They are deformed by rotation and magnetic fields. Until now, the study of stellar shapes has only been possible with optical interferometry for a few of the fastest-rotating nearby stars. We…
Astronomers generally assume planet-forming disks are aligned with the rotation of their host star. However, recent observations have shown evidence of warping in protoplanetary disks. One can measure the statistical alignment between the…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
In this paper we propose an acceptance-rejection sampler using stratified inputs as diver sequence. We estimate the discrepancy of the points generated by this algorithm. First we show an upper bound on the star discrepancy of order…
A one-to-one correspondence is drawn between law invariant risk measures and divergences, which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties. Divergences…
We present a new method for detecting and correcting systematic errors in the distances to stars when both proper motions and line-of-sight velocities are available. The method, which is applicable for samples of 200 or more stars that have…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
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…
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively,…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We…
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…
We study some notions of negative dependence of a sampling scheme that can be used to derive variance bounds for the corresponding estimator or discrepancy bounds for the underlying random point set that are at least as good as the…
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that…
It is possible to learn about the orientation of a star's rotation axis by combining measurements of the star's rotation velocity ($v$) and its projection onto our line of sight ($v\sin i$). This idea has found many applications, including…