arXiv research

The paper presents formulas for valuing debt and equity in interconnected firms with comonotonic endowments.

Study dynamic Pareto-optimal allocations in multi-period economies with time-consistent risk measures.

New concept of partial comonotonicity connects riskmetrics and dependence.

Paper introduces weak comonotonicity for more realistic extreme dependence scenarios.

Simple conditions for comonotonic additive risk measures from acceptance sets.

Paper introduces new approximations for lognormal sums, matching comonotonicity and moments.

New property shows VaR subadditivity for comonotonic loss variables.

This paper reviews incompatibilities of comonotonic risk measures.

We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that characterizes \textit{and} distinguishes comonotone and not comonotone coherent risk …

Comonotonic allocations are restored under certain constraints, improving risk-sharing.

Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligib…

The paper explores non-convex risk measures and their characterizations.

It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that comonotonic risks have the convex-largest sum, ASTIN Bulletin 32, 71-80. Cheung (2…

In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some differences and rel…

The paper addresses risk sharing and variability measures among agents with general risk preferences.

Optimal risk sharing found for heterogeneous risk attitudes using distortion risk measures.

Study on efficiency in economies with risk-averse agents, finding Pareto optima.

Study on risk measures using distorted Choquet integrals with random distortions.

It is well-known that an $\mathbb{R}$-valued random vector $(X_1, X_2, \cdots, X_n)$ is comonotonic if and only if $(X_1, X_2, \cdots, X_n)$ and $(Q_1(U), Q_2(U),\cdots, Q_n(U))$ coincide \emph{in distribution}, for \emph{any} random variable $U$ uniformly distributed on the unit interval $(0,1)$, where $Q_k(\cdot)$ ar…

Study finds risk sharing without convexity assumptions.

The paper examines bounds for stop-loss payoffs using transformed random variables.

Proposes counterfactual explainability for causal attribution, extending variance analysis methods.

New optimal transport divergences derived from scoring functions.

In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent tails, we propose an estimator of these multivariate asymptotic expectiles, in …

We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. Elicitability has recently been discussed as a desirable criterion for risk measures, motivated by statistical considerations of forecasting. …

Paper provides new bounds for risk aggregation and sharing.

Optimizes dynamic investment portfolios with correlated jumps.

Study efficient numerical methods for American basket options.

Calibrating classifiers reduces grouping loss using sufficiency criteria.

Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including tractability, scenario relevance and robustness, we consider theoretical properties of…

We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered foir instance in the Recovery Theorem by Ross (2015), except that here we conside…

Derives explicit investment strategy with random endowment.

In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the derivative, irrespectively of his own initial endowment of derivatives and cash. We prove that this is false for any given investor if one c…

In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of …

Dual representation and properties of expectile-based expected shortfall studied.

In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization problem not only the initial capital but also the number of units of the random end…

Investigates how diversification preferences relate to risk attitudes.

New method for dynamic valuation in markets with random endowments.

We prove that the group D^r(R) of C^r diffeomorphisms of the real line, endowed with the compact-open and Whitney C^r topologies, is bihomeomorphic to the group H(R) of homeomorphisms of the real line endowed with the compact-open and Whitney topologies. This implies that the diffeomorphism group D^r(R) endowed with th…

In this paper, we introduce canonical principal direction (CPD) submanifolds with higher codimension in Euclidean spaces. We obtain the complete classification of surfaces endowed with CPD in the Euclidean 4-space.

We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that both primal and dual value functions are finite in the interiors of their domains a…

The subject of this paper is an optimal consumption/optimal portfolio problem with transaction costs and with multiple risky assets. In our model the transaction costs take a special form in that transaction costs on purchases of one of the risky assets (the endowed asset) are infinite, and transaction costs involving …

Investor optimizes wealth in a market with non-traded endowment, deriving expansions up to second order.

In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on t…

In this paper, we consider a numéraire-based utility maximization problem under constant proportional transaction costs and random endowment. Assuming that the agent cannot short sell assets and is endowed with a strictly positive contingent claim, a primal optimizer of this utility maximization problem exists. Moreove…

We prove that for any non-compact connected surface $M$ the group $H_c(M)$ of compactly suported homeomorphisms of $M$ endowed with the Whitney topology is homeomorphic to $R^\infty\times l_2$ or $Z\times R^\infty\times l_2$.

We study the J-invariant and J-anti-invariant cohomological subgroups of the de Rham cohomology of a compact manifold M endowed with an almost-Kähler structure (J, ω, g). In particular, almost-Kähler manifolds satisfying a Lefschetz type property, and solvmanifolds endowed with left-invariant almost-complex structures …

Study of minimal surfaces in 3D space with special connections.