Introduces generalized Orlicz premia for broader applicability.
problem Developing a flexible framework for insurance premium calculation.
method Introduces a generalized Orlicz premium definition using non-convex loss functions.
result Generalized Orlicz premia encompass various specific cases and maintain key properties.
The paper analyzes elicitability of return risk measures and their scoring functions.
problem Elicitability of return risk measures and their scoring functions.
method Dual representation results for convex and geometrically convex return risk measures, axiomatic characterizations of Orlicz premia, and construction of strictly consistent scoring functions.
result Orlicz premia are the only elicitable return risk measures under different sets of conditions.
Paper introduces new risk measures that unify two existing types.
problem Combining two types of risk measures for broader applicability.
method Introduces a new class of risk measures that unify distortion and Haezendonck-Goovaerts measures.
result New risk measures defined on a larger space, with coherent properties in certain scenarios.
The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.
problem Understanding the unexpected losses and risk ratios for large portfolios with co-monotonic alternatives.
method Analyzes the asymptotic behavior of unexpected losses and risk ratios for co-monotonic alternatives using monotone cash-additive risk measures and Choquet insurance premia.
result Unexpected losses of large weighted portfolios are of order o(nλn), where λn is the average weight. This paper develops basic setting for the dual Orlicz-Brunn-Minkowski theory for star bodies. An Orlicz φ-radial addition of two or more star bodies is proposed and related dual Orlicz-Brunn-Minkowski inequality is established. Based on a linear Orlicz φ-radial addition of two star bodies, we derive a f…
We carry out calculations of Orlicz cohomology for some basic Riemannian manifolds (the real line, the hyperbolic plane, the ball). Relationship between Orlicz cohomology and Poincaré--Sobolev--Orlicz-type inequalities is discussed.
In this paper, the dual Orlicz curvature measure is proposed and its basic properties are provided. A variational formula for the dual Orlicz-quermassintegral is established in order to give a geometric interpretation of the dual Orlicz curvature measure. Based on the established variational formula, a solution to the …
Paper solves capillary Orlicz-Minkowski problem with new inequalities.
problem Finding capillary convex bodies with prescribed Orlicz surface area measures.
method Continuity method and inequalities to solve the capillary even Orlicz-Minkowski problem.
result Volume-normalized smooth solutions and inequalities established.
This paper introduces the dual Orlicz-Brunn-Minkowski theory for star sets. A radial Orlicz addition of two or more star sets is proposed and a corresponding dual Orlicz-Brunn-Minkowski inequality is established. Based on a radial Orlicz linear combination of two star sets, a formula for the dual Orlicz mixed volume is…
Paper solves Orlicz-Aleksandrov problem using Gauss curvature flow.
problem Orlicz-Aleksandrov problem
method Gauss curvature flow
result Existence of smooth solutions
This paper aims to develop basic theory for the dual Orlicz Lφ affine and geominimal surface areas for star bodies, which belong to the recent dual Orlicz-Brunn-Minkowski theory for star bodies. Basic properties for these new affine invariants will be provided. Moreover, related Orlicz affine isoperimetric inequalit…
This paper is dedicated to the Orlicz-Petty bodies. We first propose the homogeneous Orlicz affine and geominimal surface areas, and establish their basic properties such as homogeneity, affine invariance and affine isoperimetric inequalities. We also prove that the homogeneous geominimal surface areas are continuous, …
SL(n) covariant valuations on Orlicz spaces are represented and characterized.
problem Representing SL(n) covariant valuations on Orlicz spaces.
method Representation theorem established for continuous, SL(n) covariant vector-valued valuations.
result Unique characterization of SL(n) covariant valuations as moment vectors.
Classification of SL(n) covariant valuations on Orlicz spaces.
problem Classifying continuous SL(n) covariant valuations on Orlicz spaces.
method Complete classification without symmetric assumptions, focusing on moment matrix and a new functional in dimension two.
result The moment matrix is the only SL(n) covariant valuation for n≥3, and a new functional appears in dimension two.
The Orlicz-Brunn-Minkowski theory receives considerable attention recently, and many results in the Lp-Brunn-Minkowski theory have been extended to their Orlicz counterparts. The aim of this paper is to develop Orlicz Lφ affine and geominimal surface areas for single convex body as well as for multiple convex bod…
Paper solves Musielak-Orlicz-Gauss image problem using parabolic flows.
problem Characterize Musielak-Orlicz-Gauss image measure of convex bodies.
method Study of parabolic flows and approximation technique.
result Provides solutions to the extended Musielak-Orlicz-Gauss image problem.
Study of a flow related to the Orlicz-Minkowski problem for convex hypersurfaces.
problem Orlicz-Minkowski problem involving Gauss curvature and support function.
method Generalized Gauss curvature flow for convex hypersurfaces in Euclidean n-space.
result Long-time existence and convergence of the flow, leading to existence results for the Orlicz-Minkowski problem.
A new method for transporting unbalanced measures on graphs efficiently.
problem Optimal transport for measures with unequal total masses on graph metric spaces.
method Developed a novel variant of entropy partial transport (Orlicz-EPT) with Orlicz geometric structure, leading to Orlicz-Sobolev transport (OST).
result OST can be efficiently computed by solving a univariate optimization problem, significantly faster than Orlicz-EPT.
Study anisotropic flows solving Orlicz-Minkowski problems, proving existence and new results.
problem Anisotropic non-homogeneous Gauss curvature flows and Orlicz-Minkowski problems.
method Long-time existence and behavior analysis, parabolic approximation method, curvature flow.
result Existence and new results for Orlicz-Minkowski problems, including Lp versions. Study an anisotropic capillary flow to solve capillary Orlicz-Minkowski problem.
problem Solve capillary Orlicz-Minkowski problem without evenness assumption.
method Analyze an anisotropic capillary Gauss curvature flow to prove convergence and establish existence.
result Establish existence result for capillary Orlicz-Minkowski problem without evenness assumption.
The general volume of a star body, a notion that includes the usual volume, the qth dual volumes, and many previous types of dual mixed volumes, is introduced. A corresponding new general dual Orlicz curvature measure is defined that specializes to the (p,q)-dual curvature measures introduced recently by Lutwak, Ya…
Novel Orlicz regrets consistently bound environmental variable statistics.
problem Consistent evaluation of stochastic environmental variables like water quality indices.
method Proposed novel Orlicz regrets for upper and lower bounds.
result Explicit linkage between Orlicz regrets and divergence risk measures.
New method solves generalized Minkowski problem for torsional rigidity.
problem Generalized Minkowski problem for torsional rigidity.
method Flow method
result Existence of solutions for general measures.
Paper bounds Kähler manifolds' diameter using Orlicz spaces and complex Monge-Ampère equations.
problem Establishing diameter bounds for Kähler manifolds in Orlicz spaces.
method Proving a priori estimates for solutions of complex Monge-Ampère equations in Orlicz spaces using Kołodziej's and Guo-Phong-Tong-Wang's approaches.
result Uniform estimates for Green's function and its gradient for Kähler metrics.
We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we show that Delbaen's representation of convex functionals with the Fatou property, which fails in a general Orlicz space, c…
De Rham theorem extended to Orlicz cohomology.
problem Extending de Rham's theorem to a broader class of cohomology.
method Proving isomorphism between de Rham Lφ-cohomology and simplicial ℓφ-cohomology. result Isomorphism between de Rham Lφ-cohomology and simplicial ℓφ-cohomology. Study anisotropic inverse Gauss curvature flows and solve dual Orlicz Minkowski problems.
problem Solving dual Orlicz Minkowski problems for anisotropic flows.
method Anisotropic inverse Gauss curvature flows and stationary solutions.
result New existence results for dual Orlicz Minkowski problems for smooth measures.
Study explores robust Orlicz spaces in finance, showing separability implications.
problem Understanding robustness in financial and economic contexts.
method Distinguished two constructions of robust Orlicz spaces: top-down and bottom-up.
result Separability of robust Orlicz spaces has strong implications for dominatedness and order completeness.
We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the factors determining variance and higher-moment risk premia. This class is the discretisation invariant sub-class of swaps with Neuberger's agg…
Study timelike Ricci curvature bounds via optimal transport with Orlicz-type costs.
problem Characterize timelike Ricci curvature bounds.
method Optimal transport with Orlicz-type costs, convexity of relative entropy.
result Characterize timelike Ricci curvature lower bounds via convexity of relative entropy.
A new statistical model uses Orlicz-Sobolev spaces with Gaussian weight.
problem Statistical modeling of infinite-dimensional probability measures.
method Affine statistical bundle on Gaussian Orlicz-Sobolev space.
result Provides tools for solving infinite-dimensional evolution problems.
Study anisotropic flows without global terms and solve dual Orlicz Christoffel-Minkowski problems.
problem Anisotropic flows without global forcing terms and dual Orlicz Christoffel-Minkowski problems.
method Existence results for dual Orlicz Christoffel-Minkowski type problems via stationary solutions of anisotropic flows.
result Existence results for a class of dual Orlicz Christoffel-Minkowski type problems.
Smooth even solutions found for a generalized convex geometry problem.
problem Dual Orlicz-Minkowski problem in convex geometry.
method Geometric flow involving Gauss curvature and normal vectors.
result Existence of smooth even solutions for smooth even measures.
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia. Successively, the state-space estimations overall are quite rationally competent in examini…
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can …
Sharp concentration inequalities for sub-Orlicz random variables with phase transition at α=2.
problem Developing concentration inequalities for sub-Orlicz random variables with phase transition.
method New theoretical analysis framework involving variance and min/max functions of Orlicz tails.
result Sharp concentration inequalities with phase transition at α=2 for sub-Orlicz random variables.
Study forecasts volatility and risk in electricity markets using matrix-HAR models.
problem Forecasting volatility and risk in electricity markets.
method Constructed a parsimonious matrix-HAR type model to estimate realized covariation and risk premia in electricity markets.
result Inclusion of longer time horizons and renewable generation information improves forecasts.
In this paper the dual Orlicz-Minkowski problem, a generalization of the Lp dual Minkowski problem, is studied. By studying a flow involving the Gauss curvature and support function, we obtain a new existence result of solutions to this problem for smooth measures.
Paper solves Minkowski problem for q-torsional rigidity using curvature flow.
problem Solving Minkowski problem for q-torsional rigidity.
method Method of curvature flows.
result Existence of smooth non-even solutions.
Paper solves a generalized chord Minkowski problem using Gauss curvature flows.
problem Generalized chord Minkowski problem using Orlicz functions.
method Gauss curvature flows to achieve existence of smooth solutions.
result Existence of smooth solutions to the orlicz chord Minkowski problem.
Develops a method to predict stock returns with time-varying risk premia.
problem Predicting stock returns with time-varying risk premia while maintaining no-arbitrage restrictions.
method Penalized two-pass regression with time-varying factor loadings, incorporating penalization in the first pass and grouping in the second pass.
result The proposed method reduces prediction errors compared to other approaches.
Model liquidity premia using a risk-sharing economy with quadratic costs.
problem Understanding the cross-section of liquidity premia earned by assets with different trading costs.
method Developed a risk-sharing economy model with quadratic transaction costs, leading to matrix-valued Riccati equations for equilibrium.
result Calibrated model to time series data, revealing liquidity premia across assets with varying trading costs.
We investigate a variety of stability properties of Haezendonck-Goovaerts premium principles on their natural domain, namely Orlicz spaces. We show that such principles always satisfy the Fatou property. This allows to establish a tractable dual representation without imposing any condition on the reference Orlicz func…
Estimates crypto risk premia using hidden factors and finds significant integration with traditional markets.
problem Estimating risk premia in cryptocurrency returns.
method Giglio-Xiu (2021) three-pass approach, controlling for latent factors and non-tradable state variables.
result Latent factors significantly impact crypto returns, highlighting the importance of controlling for unobserved risks.
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands. We first study this problem under expected utility preferences with an objectivel…
In the dual LΦ∗ of a Δ2-Orlicz space LΦ, that we call a dual Orlicz space, we show that a proper (resp. finite) convex function is lower semicontinuous (resp. continuous) for the Mackey topology τ(LΦ∗,LΦ) if and only if on each order interval [−ζ,ζ]={ξ:−ζ≤ξ≤ζ} (ζ∈LΦ∗), it is lowe…
Model predicts jump risk premia influencing cryptocurrency futures and option performance.
problem Capturing asymmetric and time-varying skewness in cryptocurrency returns.
method Bivariate Hawkes process with positive and negative jump premia.
result Inferred jump risk premia predict futures cost of carry and option performance.
Investigates how ESG mandates affect portfolio efficiency and risk premia.
problem The inefficiency of portfolios under ESG mandates and the associated risk premia.
method Analyzes equilibrium conditions with ESG constraints and mean-variance investors.
result Negative ESG premium arises due to ESG constraint, not risk factor.