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

The state-of-the-art performance on entity resolution (ER) has been achieved by deep learning. However, deep models are usually trained on large quantities of accurately labeled training data, and can not be easily tuned towards a target…

While the {estimation} of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…

Maximum likelihood estimation in nonlinear models can exhibit substantial instability in finite samples when the data provide limited information about certain parameters. Such instability is driven by rare but extreme realizations of the…

Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log…

While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…

In this paper we propose a problem-driven scenario generation approach to the single-period portfolio selection problem which use tail risk measures such as conditional value-at-risk. Tail risk measures are useful for quantifying potential…

Empirical Risk Minimization (ERM) based machine learning algorithms have suffered from weak generalization performance on data obtained from out-of-distribution (OOD). To address this problem, Invariant Risk Minimization (IRM) objective was…

While mixture of linear regressions (MLR) is a well-studied topic, prior works usually do not analyze such models for prediction error. In fact, {\em prediction} and {\em loss} are not well-defined in the context of mixtures. In this paper,…

Long-tail motion forecasting is a core challenge for autonomous driving, where rare yet safety-critical events-such as abrupt maneuvers and dense multi-agent interactions-dominate real-world risk. Existing approaches struggle in these…

Accurate channel modeling plays a pivotal role in optimizing communication systems, and fitting field measurements to stochastic models is crucial for capturing the key propagation features and to map these to achievable system…

As opposed to standard empirical risk minimization (ERM), distributionally robust optimization aims to minimize the worst-case risk over a larger ambiguity set containing the original empirical distribution of the training data. In this…

We study the minimal error of the Empirical Risk Minimization (ERM) procedure in the task of regression, both in the random and the fixed design settings. Our sharp lower bounds shed light on the possibility (or impossibility) of adapting…

We develop in this paper a framework of empirical gain maximization (EGM) to address the robust regression problem where heavy-tailed noise or outliers may present in the response variable. The idea of EGM is to approximate the density…

We propose a new risk sensitive reinforcement learning approach for the dynamic hedging of options. The approach focuses on the minimization of the tail risk of the final P&L of the seller of an option. Different from most existing…

Extending Buehler et al.'s 2019 Deep Hedging paradigm, we innovatively employ deep neural networks to parameterize convex-risk minimization (CVaR/ES) for the portfolio tail-risk hedging problem. Through comprehensive numerical experiments…

In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…

This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that the tail of a distribution follows a generalized Pareto…

Weighted empirical risk minimization is a common approach to prediction under distribution drift. This article studies its out-of-sample prediction error under nonstationarity. We provide a general decomposition of the excess risk into a…

Predicting user behavior is essential for intelligent assistant services, yet deep learning models often struggle to capture long-tailed behaviors. Large language models (LLMs), with their pretraining on vast corpora containing rich…

Empirical risk minimization is the main tool for prediction problems, but its extension to relational data remains unsolved. We solve this problem using recent ideas from graph sampling theory to (i) define an empirical risk for relational…