Related papers: Probabilistic risk aversion for generalized rank-d…

This paper develops a framework to study the statistical power of revealed-preference tests. With randomly sampled budgets and mild smoothness of demand, statistical learning implies that any model consistent with the data must approximate…

We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based…

Consider the problem of learning a large number of response functions simultaneously based on the same input variables. The training data consist of a single independent random sample of the input variables drawn from a common distribution…

We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures, Value-at-Risk and Expected Shortfall (also known as…

In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…

Standard decision theory seeks conditions under which a preference relation can be compressed into a single real-valued function. However, when preferences are incomplete or intransitive, a single function fails to capture the agent's…

Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…

Given a strictly positive measure, we characterize inner semicontinuous solid convex-valued mappings for which continuous functions which are selections almost everywhere are selections. This class contains continuous mappings as well as…

We obtain an elementary characterization of expected utility based on a representation of choice in terms of psychological gambles, which requires no assumption other than coherence between ex-ante and ex-post preferences. Weaker version of…

Standard uniform convergence results bound the generalization gap of the expected loss over a hypothesis class. The emergence of risk-sensitive learning requires generalization guarantees for functionals of the loss distribution beyond the…

This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their…

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…

This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spaces and construct their robust counterparts through families…

We study randomly distorted Choquet integrals with respect to a capacity c on a measurable space ({\Omega},F), where the capacity c is distorted by a G-measurable random distortion function (with G a sub-{\sigma}-algebra of F). We establish…

We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, facing the sum of two acts, dislikes the situation where both…

Ranking functions used in information retrieval are primarily used in the search engines and they are often adopted for various language processing applications. However, features used in the construction of ranking functions should be…

Chance-constrained programs (CCPs) constitute a difficult class of stochastic programs due to its possible nondifferentiability and nonconvexity even with simple linear random functionals. Existing approaches for solving the CCPs mainly…

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 propose a method to assess the intrinsic risk carried by a financial position $X$ when the agent faces uncertainty about the pricing rule assigning its present value. Our approach is inspired by a new interpretation of the quasiconvex…

We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show…