arXiv research

New set-valued star-shaped risk measures introduced for better risk assessment.

Dual representations for robust risk measures and uncertainty sets.

Investigates set-valued risk measures for processes and vectors, proving equivalence and providing new dual representations.

Set risk measures extend traditional risk measures to handle sets of positions.

Simple conditions for comonotonic additive risk measures from acceptance sets.

Proposes new deviation measures using Minkowski gauges.

Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set minimization problems. The dual relationship between these two classes of multivariate ris…

Study shows observability from a measurable set for Gevrey functions.

In this paper, we propose a family of graph partition similarity measures that take the topology of the graph into account. These graph-aware measures are alternatives to using set partition similarity measures that are not specifically designed for graph partitions. The two types of measures, graph-aware and set parti…

New stability measures for similar features improve feature selection accuracy.

This work establishes properties on diffeological structures for set-valued maps and measures.

Proves singular set of certain integral hypercurrents has measure zero.

The paper extends a measure preserving property to bi-Lipschitz maps between Moran sets.

Introduces Star-Shaped deviation measures for risk analysis.

The study of the geometry of $n$-uniform measures in $\mathbb{R}^{d}$ has been an important question in many fields of analysis since Preiss' seminal proof of the rectifiability of measures with positive and finite density. The classification of uniform measures remains an open question to this day. In fact there is on…

Framework for quantifying uncertainty in dynamic processes.

In the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relative to a convex set of equivalent measures is introduced and the necessary and sufficient conditions of the local regularity of it in the disc…

Anosov groups' measures on limit sets are uniquely determined by their dimension.

This paper introduces Hausdorff measure and its applications in fractal geometry.

Set-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Sc…

This note fixes a small gap in Kerckhoff's proof that the limit set of the handlebody set has measure zero.

The volume of a credal set correlates with epistemic uncertainty in binary classification but not in multi-class.

We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets …

The paper shows vector-valued risk measures ignore dependence structures.

Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are set-valued. Furthermore, it is reasonable to include the exchange rules in the a…

We address the problem of curvature estimation from sampled compact sets. The main contribution is a stability result: we show that the gaussian, mean or anisotropic curvature measures of the offset of a compact set K with positive $μ$-reach can be estimated by the same curvature measures of the offset of a compact set…

Researchers develop multi-utility representations for incomplete preferences linked to risk measures.

Fractal Lipschitz-Killing curvature measures C^f_k(F,.), k = 0, ..., d, are determined for a large class of self-similar sets F in R^d. They arise as weak limits of the appropriately rescaled classical Lipschitz-Killing curvature measures C_k(F_r,.) from geometric measure theory of parallel sets F_r for small distances…

Unified framework for robust risk measures beyond convexity.

An elementary proof shows submodular functions can be represented as measure suprema.

The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on ${\cal C}_b(Ω)$, we associate a unique equivalence class of probability measures on Borel sets, characterizing the riskless non positive elements of $…

Study stationary measures and orbit closures for non-abelian actions on surfaces.

The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible ass…

Estimating the level set of a signal from measurements is a task that arises in a variety of fields, including medical imaging, astronomy, and digital elevation mapping. Motivated by scenarios where accurate and complete measurements of the signal may not available, we examine here a simple procedure for estimating the…

Approximates measures on curved spaces using Dirac measures.

The paper connects geodesic flows and limit sets on visibility manifolds.

Paper introduces quasi-logconvex risk measures and their properties.

Researchers develop a method to infer reference measures from observed functionals.

Extends inf-convolution to countable risk measures for risk sharing.

We develope a new and general notion of parametric measure models and statistical models on an arbitrary sample space $Ω$ which does not assume that all measures of the model have the same null sets. This is given by a diffferentiable map from the parameter manifold $M$ into the set of finite measures or probability me…

This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty …

In the paper, the martingales and super-martingales relative to a regular set of measures are systematically studied. The notion of local regular super-martingale relative to a set of equivalent measures is introduced and the necessary and sufficient conditions of the local regularity of it in the discrete case are fou…

Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of set-valued functionals in the recent literature. There are two possible extensi…

We study generalizations of Reifenberg's Theorem for measures in $\mathbb R^n$ under assumptions on the Jones' $β$-numbers, which appropriately measure how close the support is to being contained in a subspace. Our main results, which holds for general measures without density assumptions, give effective measure bounds…

In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous Doob decomposition onto the case of superm…

Study bounds the measure of zero sets of Neumann Laplace eigenfunctions.

Bayesian approach to robust risk measures under model uncertainty.

Random walks on Fuchsian Schottky groups have harmonic measures with lower dimension.