A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New risk measures for quantiles under ambiguity improve risk sharing.
Study on risk measures using distorted Choquet integrals with random distortions.
Choquet and minimax expectations are equivalent in European option pricing.
In the paper we give necessary and sufficient conditions for the Jensen inequality to hold for the generalized Choquet integral with respect to a pair of capacities. Next, we apply obtained result to the theory of risk aversion by providing the assumptions on utility function and capacities under which an agent is risk…
Choquet regularization improves exploration in RL.
Mobile app development in recent years has resulted in new products and features to improve human life. Mobile telematics is one such development that encompasses multidisciplinary fields for transportation safety. The application of mobile telematics has been explored in many areas, such as insurance and road safety. …
Modeling reinsurance market, we find subgame perfect Nash equilibria.
Expands learning paradigm to stochastic orders using Choquet-Toland distance and Variational Dominance Criterion.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
New principles for collapsing law-invariant functionals to means, extending beyond convexity.
The paper introduces risk consistency properties for credit ratings.
The paper bounds solutions to complex optimization problems with uncertain data.
A new convex loss function optimizes set predictions with balanced size and coverage.
Short-time existence for the Einstein-Euler and the vacuum Einstein equations is proven using a Friedrich inspired formulation due to Choquet-Bruhat and York, where the system is cast into a symmetric hyperbolic form and the Riemann tensor is treated as one of the fundamental unknowns of the problem. The reduced system…
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choque…
This work introduces a new metric for comparing imprecise probability models.
The paper explores optimal insurance contracts using various deviation measures.
We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain st…
Proves properties of maximal hypersurfaces in specific spacetimes.
Study transverse measures on infinite type hyperbolic surfaces.
This paper reviews incompatibilities of comonotonic risk measures.
This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their interconnectedness. The measure relies on the decomposition of systemic risk into sub-components …
The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.
Model-free preference under ambiguity defined and applied.
We follow the approach employed by Y. Choquet-Bruhat, J. Isenberg and D. Pollack in the case of closed manifolds and establish existence and non-existence results for the Einstein-scalar field constraint equations on asymptotically hyperbolic manifolds.
The paper solves an insurance problem using mean-variance and rank-dependent utility theory.
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of financial supervisors. We decompose systemic risk into a number of interconnected seg…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem where one optimally c…
For long time the measurement of innovation has been in the forefront of policy makers' and researchers' agenda worldwide. Therefore, there is an ongoing debate about which indicators should be used to measure innovation. Recent approaches have favoured the use of composite innovation indicators. However, there is no c…
New insights into risk aversion for complex decision models.
New findings on null measurability in symmetrization interface of VC learning.
New Gini indices capture more nuanced income inequality.
In this work, we use the global analysis and degree-theoretic methods introduced by Smale to study the existence and multiplicity of solutions of the vacuum Einstein constraint equations given by the conformal method of Lichnerowicz-Choquet-Bruhat-York. In particular this approach gives a new proof of the existence res…
In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional, such as the mean or a quantile of the predictive distribution. When evaluating and comparing competing forecasts, it is then critical that the scoring function used for these purposes be co…
We prove short-time existence for the Einstein-Euler-Entropy system for non-isentropic fluids with data in uniformly local Sobolev spaces. The cases of compact as well as non-compact Cauchy surfaces are covered. The method employed uses a Lagrangian description of the fluid flow which is based on techniques developed b…
In 1969, Choquet-Bruhat and Geroch established the existence of a unique maximal globally hyperbolic Cauchy development of given initial data for the Einstein equations. Their proof, however, has the unsatisfactory feature that it relies crucially on the axiom of choice in the form of Zorn's lemma. In this paper we pre…
In the UK betting market, bookmakers often offer a free coupon to new customers. These free coupons allow the customer to place extra bets, at lower risk, in combination with the usual betting odds. We are interested in whether a customer can exploit these free coupons in order to make a sure gain, and if so, how the c…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a fu…
Motivated by recent work of Choquet-Bruhat, Chrusciel, and Martin-Garcia, we prove monotonicity properties and comparison results for the area of slices of the null cone of a point in a Lorentzian manifold. We also prove volume comparison results for subsets of the null cone analogous to the Bishop-Gromov relative volu…
Study dynamic risk measures and performance indices using distortion functions.
We extend Eardley and Moncrief's estimates for the conformally invariant Yang-Mills-Higgs equations to the Einstein cylinder. Our method is to first work on Minkowski space and localise their estimates, and then carry them to the Einstein cylinder by a conformal transformation. By patching local estimates to…
Characterizes continuity of monotone functionals in mixed topology.
The learning of predictive models for data-driven decision support has been a prevalent topic in many fields. However, construction of models that would capture interactions among input variables is a challenging task. In this paper, we present a new preference learning approach for multiple criteria sorting with poten…
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms for the Choquet expected …
Study models weather index insurance pricing by insurers and farmers, finding flexible pricing kernels boost profits.
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper semicontinuous, allowing for upper semi-analytic ones. The generalized duality stipulate…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenster…
Introduces fuzzy layers to enhance deep learning performance.