Related papers: Probabilistic risk aversion for generalized rank-d…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
In this paper we provide a novel family of stochastic orders that generalizes second order stochastic dominance, which we call the $\alpha,[a,b]$-concave stochastic orders. These stochastic orders are generated by a novel set of "very"…
In this paper, we introduce the concept of nearly convex set-valued mappings and investigate fundamental properties of these mappings. Additionally, we establish a geometric approach for generalized differentiation of nearly convex…
We establish a connection between dependence structures and subclasses of distortion riskmetrics under which the latter are additive. A new notion of positive dependence, called partial comonotonicity, is developed, which nests the existing…
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk+ approach, and as such they formally describe default…
Operant keypress tasks, where each action has a consequence, have been analogized to the construct of "wanting" and produce lawful relationships in humans that quantify preferences for approach and avoidance behavior. It is unknown if…
We generalize the AIXI reinforcement learning agent to admit a wider class of utility functions. Assigning a utility to each possible interaction history forces us to confront the ambiguity that some hypotheses in the agent's belief…
The present paper introduces a theoretical framework through which the degree of risk aversion with respect to uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the…
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…
A family of models of individual discrete choice are constructed by means of statistical averaging of choices made by a subject in a reinforcement learning process, where the subject has short, k-term memory span. The choice probabilities…
Risk aversion is a common behavior universal to humans and animals alike. Economists have traditionally defined risk preferences by the curvature of the utility function. Psychologists and behavioral economists also make use of concepts…
We present new results on the relation between purely symbolic context-free parsing strategies and their probabilistic counter-parts. Such parsing strategies are seen as constructions of push-down devices from grammars. We show that…
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a…
Ranking systems influence decision-making in high-stakes domains like health, education, and employment, where they can have substantial economic and social impacts. This makes the integration of safety mechanisms essential. One such…
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not…
Recommender systems play a critical role in enhancing user experience by providing personalized suggestions based on user preferences. Traditional approaches often rely on explicit numerical ratings or assume access to fully ranked lists of…
A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about their dependencies. A popular approach to solving this problem…
We study the closure properties of the class of Bivariate Regular Variation, symbolically BRV , in standard and nonstandard cases, with respect to the randomly weighted sums. However, we take into consideration a weak dependence structure…
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: 1.…
This paper analyses how risk-taking behaviour and preferences over consumption rank can emerge as a neutrally stable equilibrium when individuals face an anti-coordination task. If in an otherwise homogeneous society information about…