Related papers: Risk sharing with Lambda value at risk under heter…
In multiple criteria decision aiding, very often the alternatives are compared by means of a value function compatible with the preferences expressed by the Decision Maker. The problem is that, in general, there is a plurality of compatible…
This work examines a social learning problem, where dispersed agents connected through a network topology interact locally to form their opinions (beliefs) as regards certain hypotheses of interest. These opinions evolve over time, since…
This paper proposes a unified theoretical model to identify and test a comprehensive set of probabilistic updating biases within a single framework. The model achieves separate identification by focusing on the updating of belief…
Multi-agent decision-making under uncertainty is fundamental for effective and safe autonomous operation. In many real-world scenarios, each agent maintains its own belief over the environment and must plan actions accordingly. However,…
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…
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The…
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…
A framework for consensus modelling is introduced using Kleene's three valued logic as a means to express vagueness in agents' beliefs. Explicitly borderline cases are inherent to propositions involving vague concepts where sentences of a…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
We address imbalanced classification, the problem in which a label may have low marginal probability relative to other labels, by weighting losses according to the correct class. First, we examine the convergence rates of the expected…
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them. ----- Se analiza el principio de…
Value-alignment in normative multi-agent systems is used to promote a certain value and to ensure the consistent behaviour of agents in autonomous intelligent systems with human values. However, the current literature is limited to the…
Quantile aggregation with dependence uncertainty has a long history in probability theory with wide applications in finance, risk management, statistics, and operations research. Using a recent result on inf-convolution of quantile-based…
Value-alignment in normative multi-agent systems is used to promote a certain value and to ensure the consistent behavior of agents in autonomous intelligent systems with human values. However, the current literature is limited to…
This paper motivates and develops a novel and focused approach to variable selection in linear regression models. For estimating the regression mean $\mu=\E\,(Y\midd x_0)$, for the covariate vector of a given individual, there is a list of…
With the rise of increasingly powerful and user-facing NLP systems, there is growing interest in assessing whether they have a good representation of uncertainty by evaluating the quality of their predictive distribution over outcomes. We…
This work addresses the problem of sharing partial information within social learning strategies. In traditional social learning, agents solve a distributed multiple hypothesis testing problem by performing two operations at each instant:…
We study discrete preference games in heterogeneous social networks. These games model the interplay between a player's private belief and his/her publicly stated opinion (which could be different from the player's belief) as a strategic…
We consider the problem of inference in shift-share research designs. The choice between existing approaches that allow for unrestricted spatial correlation involves tradeoffs, varying in terms of their validity when there are relatively…
Models of continuous opinion dynamics under bounded confidence show a sharp transition between a consensus and a polarization phase at a critical global bound of confidence. In this paper, heterogeneous bounds of confidence are studied. The…