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.
Extended univariate Range Value-at-Risk to multivariate settings.
Study extreme-case Value-at-Risk under IFR distributions, providing guidance for risk management.
Paper quantifies distortion risk measures' robustness to distributional uncertainty.
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are insurance companies each bearing a certain risk and one representative reinsurer. The optimization problem is to minimize the su…
The paper introduces MRVaR and MRCov for elliptical and log-elliptical distributions.
Paper provides new bounds for risk aggregation and sharing.
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural interpolation between these two prominent risk measures, which constitutes a trad…
Paper establishes identifiability and elicitability of tail risk measures.
The paper optimizes reinsurance under uncertain dependence among insurers.
Sharp bounds for distortion risk metrics under uncertain distributions.
Study examines cryptocurrency impacts on financial indices using advanced risk models.