相关论文: Asymptotic Analysis of Optimal Diversification in …
Motion planning is a fundamental problem in autonomous robotics that requires finding a path to a specified goal that avoids obstacles and takes into account a robot's limitations and constraints. It is often desirable for this path to also…
In this paper we study the asymptotic properties of point configurations that achieve optimal covering of sets lacking smoothness. Our results include the proofs of the existence of asymptotics of best covering and maximal polarization for…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
Decisions on how to manage future flood risks are frequently informed by both sophisticated and computationally expensive models. This complexity often limits the representation of uncertainties and the consideration of strategies. Here, we…
Pool-based Active Learning (AL) has achieved great success in minimizing labeling cost by sequentially selecting informative unlabeled samples from a large unlabeled data pool and querying their labels from oracle/annotators. However,…
In this paper we present a versatile method for the investigation of interaction networks and show how to use it to assess effects of indirect interactions and feedback loops. The method allows to evaluate the impact of optimization…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
We study financial networks where banks are connected through bilateral liabilities and may default when resources are insufficient to meet obligations. We consider both the standard proportional clearing model and a priority-proportional…
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…
Investigation of the critical levels and catastrophes in the complex systems of different nature is useful and perspective. Mathematical modeling and analysis is presented for revealing and investigation of the phenomena and critical levels…
Active learning aims to identify the most informative data from an unlabeled data pool that enables a model to reach the desired accuracy rapidly. This benefits especially deep neural networks which generally require a huge number of…
The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axiomatic foundation. We consider a nonstandard optimal control…
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…
Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…
We consider the problem of optimally locating a given number $k$ of points in ${\mathbb R}^n$ for an integral cost function which takes into account two measures $\varphi^+$ and $\varphi^-$. The points represent for example new industrial…
The dynamics of flooding are primarily influenced by the shape, height, and roughness (friction) of the underlying topography. For this reason, mechanisms to mitigate floods frequently employ structural measures that either modify…
The asymptotically optimal version of Rapidly-exploring Random Tree (RRT*) is often used to find optimal paths in a high-dimensional configuration space. The well-known issue of RRT* is its slow convergence towards the optimal solution. A…
Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
A probability forecast or probabilistic classifier is reliable or calibrated if the predicted probabilities are matched by ex post observed frequencies, as examined visually in reliability diagrams. The classical binning and counting…