Search Results for author:
Found 39 papers, 2 papers with code
Elicitability and identifiability of tail risk measures
They are induced by law-based risk measures, called their generators, evaluated on the tail distribution.
Coherent risk measures and uniform integrability
We introduce a technical tool called the folding score of distortion risk measures.
Risk exchange under infinite-mean Pareto models
The phenomenon that diversification is not beneficial in the presence of super-Pareto losses is further illustrated by an equilibrium analysis in a risk exchange market.
Max-stability under first-order stochastic dominance
Max-stability is the property that taking a maximum between two inputs results in a maximum between two outputs.
A new characterization of second-order stochastic dominance
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order.
Partially Law-Invariant Risk Measures
A notion of strong partial law invariance is introduced, allowing for a representation formula akin to the classical one.
Negatively dependent optimal risk sharing
We analyze the problem of optimally sharing risk using allocations that exhibit counter-monotonicity, the most extreme form of negative dependence.
Monotonic mean-deviation risk measures
The form is a combination of the deviation-related functional and the expectation, and such measures belong to the class of consistent risk measures.
Risk Aversion and Insurance Propensity
We then extend the analysis to comparative risk aversion by showing that the notion of Yaari (1969) corresponds to comparative propension to full insurance, while the stronger notion of Ross (1981) corresponds to comparative propension to partial insurance.
A duality between utility transforms and probability distortions
In this paper, we establish a mathematical duality between utility transforms and probability distortions.
Antimonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity
We, finally, present cases where antimonotonic restrictions do weaken axioms and lead to new models, primarily for ambiguity aversion in nonexpected utility.
Composite Sorting
We completely characterize optimal sorting and additionally show it is more positive when mismatch costs are less concave.
Pairwise counter-monotonicity
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence.
Risk sharing, measuring variability, and distortion riskmetrics
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex.
Diversification quotients based on VaR and ES
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model.
Quasi-convexity in mixtures for generalized rank-dependent functions
Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis.
E-backtesting
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation.
Choquet regularization for reinforcement learning
We propose \emph{Choquet regularizers} to measure and manage the level of exploration for reinforcement learning (RL), and reformulate the continuous-time entropy-regularized RL problem of Wang et al. (2020, JMLR, 21(198)) in which we replace the differential entropy used for regularization with a Choquet regularizer.
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic dominance.
An axiomatic theory for anonymized risk sharing
We study an axiomatic framework for anonymized risk sharing.
Diversification quotients: Quantifying diversification via risk measures
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity.
Calibrating distribution models from PELVE
It is straightforward to compute the value of PELVE for a given distribution model.
A reverse ES (CVaR) optimization formula
The celebrated Expected Shortfall (ES) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function.
Model Aggregation for Risk Evaluation and Robust Optimization
The MA risk evaluation can be computed through explicit formulas in the lattice theory of stochastic dominance, and under some standard assumptions, the MA robust optimization admits a convex-program reformulation.
Simultaneous Optimal Transport
We propose a general framework of mass transport between vector-valued measures, which will be called simultaneous optimal transport (SOT).
Cash-subadditive risk measures without quasi-convexity
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims.
A Framework for Measures of Risk under Uncertainty
A risk analyst assesses potential financial losses based on multiple sources of information.
Risk measures induced by efficient insurance contracts
To fill this gap, we study characterization of risk measures induced by efficient insurance contracts, i. e., those that are Pareto optimal for the insured and the insurer.
Risk Concentration and the Mean-Expected Shortfall Criterion
Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk assessment and provide the first economic axiomatic foundation for the family of ES.
A unified framework for bandit multiple testing
In bandit multiple hypothesis testing, each arm corresponds to a different null hypothesis that we wish to test, and the goal is to design adaptive algorithms that correctly identify large set of interesting arms (true discoveries), while only mistakenly identifying a few uninteresting ones (false discoveries).
Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle
We prove necessary and sufficient conditions satisfied by the optimal solution and consider three ambiguity orders to further determine the optimal indemnity.
Risk Aggregation under Dependence Uncertainty and an Order Constraint
We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller than or equal to the other.
Star-shaped Risk Measures
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied.
Parametric measures of variability induced by risk measures
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences.
Ordering and Inequalities for Mixtures on Risk Aggregation
Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation.
Convolution Bounds on Quantile Aggregation
We discuss relevant applications in risk management and economics.
Adjusted Expected Shortfall
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution.
Scenario-based Risk Evaluation
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management.
Combining p-values via averaging
An old result by R\"uschendorf and, independently, Meng implies that the p-values can be combined by scaling up their arithmetic mean by a factor of 2 (and no smaller factor is sufficient in general).
Statistics Theory Statistics Theory 62G10, 62F03
