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arXiv research

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.

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2 results for “RDEU”

Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principleq-fin.RM

Optimal insurance strategy for maximizing RDEU under various premium principles.

problem Maximizing a risk-averse individual's RDEU with insurance priced by a distortion-deviation principle.

method Proved necessary and sufficient conditions for the optimal solution, considered ambiguity orders, and analyzed specific examples.

result Conditions for no insurance or deductible insurance to be optimal.

insurance RDEU distortion-deviation rank-dependent expected utility

2021-07-06abs ↗pdf ↗

Robust Risk-Aware Reinforcement Learningcs.LG

A risk-aware RL approach using RDEU and Wasserstein ball for robust performance.

problem Optimizing risk-aware performance criteria in uncertain environments.

method Rank dependent expected utility (RDEU) for risk assessment, Wasserstein ball for robustness, actor/agent framework.

result Explicit policy gradient formulae for robust optimization.

reinforcement learning risk-aware robust optimization rank dependent expected utility Wasserstein ball

2021-08-23abs ↗pdf ↗