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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.

168,695 papers · 148 categories

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count% of corpus
1122 · Feb 202319922001200920172026
7 results for “counter-monotonic”
Pairwise counter-monotonicityq-fin.RM

Study on pairwise counter-monotonicity, a type of negative dependence.

problem Understanding and quantifying extremal negative dependence structures.
method Established stochastic representation and invariance property; showed implications and connections.
result Pairwise counter-monotonicity implies negative association and joint mix dependence.
counter-monotonicitynegative dependencestochastic representationinvariance propertynegative association
2023-02-22abs ↗pdf ↗
Distortion risk measures of sums of two counter-monotonic risksq-fin.MF

This paper shows how to calculate risk measures for sums of two counter-monotonic risks.

problem Calculating risk measures for sums of two counter-monotonic risks.
method Using a fixed distortion function and expressing the risk measure of a sum as the sum of two related measures of the marginals.
result The risk measure of a sum of two counter-monotonic risks can be expressed as the sum of two related distortion risk measures of the marginals.
distortion riskcounter-monotonic risksrisk measuressums of risksdual distortion function
2025-03-07abs ↗pdf ↗
Counter-monotonic risk allocations and distortion risk measuresq-fin.RM

The paper studies risk-sharing allocations for risk-seeking agents using a common distortion risk measure.

problem Characterizing Pareto-optimal risk-sharing allocations for risk-seeking agents.
method Modeling preferences with a common distortion risk measure and analyzing three settings: risk-averse, risk-seeking, and inverse S-shaped distortion.
result Pareto-optimal allocations for risk-seeking agents are counter-monotonic, not comonotonic.
risk-sharingrisk-seekingcounter-monotonicdistortion risk measurePareto optimality
2024-07-22abs ↗pdf ↗
Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measuresq-fin.RM

Study risk sharing among agents with varying risk preferences.

problem Risk sharing among agents with heterogeneous risk measures.
method Derive explicit solutions for inf-convolution and counter-monotonic inf-convolution under varying risk seeking.
result Explicit solutions for inf-convolution and counter-monotonic inf-convolution can be represented by a generalization of distortion risk measures.
risk sharingheterogeneous risk measuresinf-convolutioncounter-monotonicrisk seeking
2024-12-01abs ↗pdf ↗
Optimal allocations with distortion risk measures and mixed risk attitudesecon.TH

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

problem Risk sharing in economies with diverse risk attitudes.
method Modeling preferences with distortion risk measures, using comonotonic and counter-monotonic principles.
result Optimal risk sharing strategies identified based on risk attitudes, reducing the nn-agent problem to a two-agent formulation.
risk sharingdistortion risk measuresheterogeneous risk attitudescomonotoniccounter-monotonic
2025-10-21abs ↗pdf ↗
Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudesecon.TH

Examines optimal risk sharing with realistic risk attitudes, finding risk seeking in certain subdomains.

problem Optimal risk sharing with empirically realistic risk attitudes.
method Allows for risk-seeking agents, generalizes expected utility, and uses counter-monotonic improvement theorem.
result First empirical results on optimal risk sharing with realistic risk attitudes.
risk sharingempirical realismrisk attitudescounter-monotonic improvementoptimal utility
2024-01-06abs ↗pdf ↗
Risk sharing, measuring variability, and distortion riskmetricsq-fin.RM

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

problem Risk sharing and variability measures among agents with general risk preferences.
method Characterizes Pareto-optimal allocations using Gini deviation, mean-median deviation, and inter-quantile difference as variability measures.
result Optimal allocations are not comonotonic and feature a mixture of pairwise counter-monotonic structures.
Risk sharingDistortion riskmetricsPareto-optimal allocationsGeneral risk preferencesInter-quantile difference
2023-02-08abs ↗pdf ↗