Related papers: Tailoring to the Tails: Risk Measures for Fine-Gra…

Many novel notions of "risk" (e.g., CVaR, tilted risk, DRO risk) have been proposed and studied, but these risks are all at least as sensitive as the mean to loss tails on the upside, and tend to ignore deviations on the downside. We study…

Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of…

Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk…

Empirical Risk Minimization (ERM) is a foundational framework for supervised learning but primarily optimizes average-case performance, often neglecting fairness and robustness considerations. Tilted Empirical Risk Minimization (TERM)…

High-dimensional data subject to heavy-tailed phenomena and heterogeneity are commonly encountered in various scientific fields and bring new challenges to the classical statistical methods. In this paper, we combine the asymmetric square…

Rare events, and more general risk-sensitive quantities-of-interest (QoIs), are significantly impacted by uncertainty in the tail behavior of a distribution. Uncertainty in the tail can take many different forms, each of which leads to a…

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…

How to estimate the uncertainty of a given model is a crucial problem. Current calibration techniques treat different classes equally and thus implicitly assume that the distribution of training data is balanced, but ignore the fact that…

Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…

The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail risks associated with uncertain losses. However, when data…

This paper proposes a Mixture Density Network specifically designed for forecasting time series that exhibit locally explosive behavior. By incorporating skewed t-distributions as mixture components, our approach offers enhanced flexibility…

Unsupervised anomaly detection (AD) is a challenging task in realistic applications. Recently, there is an increasing trend to detect anomalies with deep neural networks (DNN). However, most popular deep AD detectors cannot protect the…

Recent advancements in Distributional Reinforcement Learning (DRL) for modeling loss distributions have shown promise in developing hedging strategies in derivatives markets. A common approach in DRL involves learning the quantiles of loss…

In recent years, multicalibration has emerged as a desirable learning objective for ensuring that a predictor is calibrated across a rich collection of overlapping subpopulations. Existing approaches typically achieve multicalibration by…

We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…

Machine learning models have exhibited exceptional results in various domains. The most prevalent approach for learning is the empirical risk minimizer (ERM), which adapts the model's weights to reduce the loss on a training set and…

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…

Probabilistic forecasts are typically obtained using state-of-the-art statistical and machine learning models, with model parameters estimated by optimizing a proper scoring rule over a set of training data. If the model class is not…

Imitation learning algorithms learn viable policies by imitating an expert's behavior when reward signals are not available. Generative Adversarial Imitation Learning (GAIL) is a state-of-the-art algorithm for learning policies when the…

In this paper, we propose a novel frequency-severity joint trip-level risk index that combines the frequency of abnormal driving patterns with a severity component reflecting how extreme such behavior is relative to a portfolio-level…