Related papers: Constructing elicitable risk measures
We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…
The accurate representation of epistemic uncertainty is a challenging yet essential task in machine learning. A widely used representation corresponds to convex sets of probabilistic predictors, also known as credal sets. One popular way of…
Recent advances in multi-task peer prediction have greatly expanded our knowledge about the power of multi-task peer prediction mechanisms. Various mechanisms have been proposed in different settings to elicit different types of…
The forecasting of the credit default risk has been an important research field for several decades. Traditionally, logistic regression has been widely recognized as a solution due to its accuracy and interpretability. As a recent trend,…
In this paper we shall consider some famous means such as arithmetic, harmonic, geometric, root square mean, etc. Considering the difference of these means, we can establish. some inequalities among them. Interestingly, the difference of…
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and…
We study the framework of abductive logic programming extended with integrity constraints. For this framework, we introduce a new measure of the simplicity of an explanation based on its degree of \emph{arbitrariness}: the more arbitrary…
Applied researchers often claim that the risk difference is more heterogeneous than the relative risk and the odds ratio. Some also argue that there are theoretical grounds for why this claim is true. In this note, we point out that these…
The wayward quality of continuous prompts stresses the importance of their interpretability as unexpected and unpredictable behaviors appear following training, especially in the context of large language models automating people-sensitive…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
Statistical functionals are called elicitable if there exists a loss or scoring function under which the functional is the optimal point forecast in expectation. While the mean and quantiles are elicitable, it has been shown in Heinrich…
Recently, Castagnoli et al. (2021) introduce the class of star-shaped risk measures as a generalization of convex and coherent ones, proving that there is a representation as the pointwise minimum of some family composed by convex risk…
We study coherent risk measures which are time-consistent for multiple filtrations. We show that a coherent risk measure is time-consistent for every filtration if and only if it is one of four main types. Furthermore, if the risk measure…
The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in…
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the more recent developments in the theory of…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
This paper motivates the views that for complex systems, risk should be controlled by enforcing constraints in a modular way at different system levels, that the constraints can be expressed as assurance contracts and that acceptable risk…