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Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at-risk is a common risk control instrument, but there are…
Following successful large-vessel recanalization via endovascular thrombectomy (EVT) for acute ischemic stroke (AIS), some patients experience a complication known as no-reflow, defined by persistent microvascular hypoperfusion that…
Value at Risk (VaR) and Conditional Value at Risk (CVaR) have become the most popular measures of market risk in Financial and Insurance fields. However, the estimation of both risk measures is challenging, because it requires the knowledge…
Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…
We propose a distributionally robust approach to risk-sensitive estimation of an unknown signal x from an observed signal y. The unknown signal and observation are modeled as random vectors whose joint probability distribution is unknown,…
Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of portfolios with option positions. Its effectiveness,…
Several cardiovascular diseases are caused from localised abnormal blood flow such as in the case of stenosis or aneurysms. Prevailing theories propose that the development is caused by abnormal wall-shear stress in focused areas.…
The conventional approach to data-driven inversion framework is based on Gaussian statistics that presents serious difficulties, especially in the presence of outliers in the measurements. In this work, we present maximum likelihood…
This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional Euler contributions from an expectation conditional on an…
Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%.…
In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterized by having a computable generalized characteristic…
Risk-sensitive reinforcement learning (RL) has garnered significant attention in recent years due to the growing interest in deploying RL agents in real-world scenarios. A critical aspect of risk awareness involves modeling highly rare risk…
Fine-tuning pre-trained diffusion and flow models to optimize downstream utilities is central to real-world deployment. Existing entropy-regularized methods primarily maximize expected reward, providing no mechanism to shape tail behavior.…
Value-at-Risk (VaR) estimation at high confidence levels is inherently a rare-event problem and is particularly sensitive to tail behavior and model misspecification. This paper studies the performance of two simulation-based VaR estimation…
In financial risk management, Value at Risk (VaR) is widely used to estimate potential portfolio losses. VaR's limitation is its inability to account for the magnitude of losses beyond a certain threshold. Expected Shortfall (ES) addresses…
Reservoir models are numerical representations of the subsurface petrophysical properties such as porosity, volume of minerals and fluid saturations. These are often derived from elastic models inferred from seismic inversion in a two-step…
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over…
This article develops a new algorithm named TTRISK to solve high-dimensional risk-averse optimization problems governed by differential equations (ODEs and/or PDEs) under uncertainty. As an example, we focus on the so-called Conditional…
Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertainty, sometimes also referred to as model ambiguity. Although…
Entropy and relative or cross entropy measures are two very fundamental concepts in information theory and are also widely used for statistical inference across disciplines. The related optimization problems, in particular the maximization…