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Cascading failures, triggered by a local perturbation, can be catastrophic and cause irreparable damages in a wide area. Hence, blocking the devastating cascades is an important issue in real world networks. One of the ways to control the…

Resolving major societal challenges, such as stagnated economic growth or wasted resources, heavily relies on successful project delivery. However, projects are notoriously hard to deliver successfully, partly due to their interconnected…

In this paper a class of single machine scheduling problems is considered. It is assumed that job processing times and due dates can be uncertain and they are specified in the form of discrete scenario set. A probability distribution in the…

This paper deals with adaptive synchronization of chaos in the presence of time-varying communication-delays. We consider two bidirectionally coupled systems that seek to synchronize through a signal that each system sends to the other one…

Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to…

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…

Multi-agent debate (MAD) systems improve LLM reasoning through iterative deliberation, but remain vulnerable to debate collapse, a failure type where final agent decisions are compromised on erroneous reasoning. Existing methods lack…

The ability to detect faults is an important safety feature for event-based multi-agent systems. In most existing algorithms, each agent tries to detect faults by checking its own behavior. But what if one agent becomes unable to recognize…

In practice, the value-at-risk (VaR) for a longer holding period is often scaled using the 'square root of time rule'. The VaR is determined for a shorter holding period and then scaled up according to the desired holding period. For…

Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown…

Copula-based Conditional Value at Risk (CCVaR) is defined as an alternative version of the classical Conditional Value at Risk (CVaR) for multivariate random vectors intended to be real-valued. We aim to generalize CCVaR to several…

We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic…

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…

We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds, in a non-parametric setup allowing for heavy-tails on the…

Autonomous cyber and cyber-physical systems need to perform decision-making, learning, and control in unknown environments. Such decision-making can be sensitive to multiple factors, including modeling errors, changes in costs, and impacts…

Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…

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 paper investigates the effect of constant time delay in weakly connected multi-agent systems modeled by double integrator dynamics. A novel analytical approach is proposed to establish an upper bound on the permissible time delay that…

A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve…

In this paper, we investigate the Lambda Value-at-Risk ($\Lambda$VaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for increasing Lambda functions, the robust (i.e., worst-case)…