arXiv research

The paper bounds solutions to complex optimization problems with uncertain data.

The paper explores optimal insurance contracts using various deviation measures.

In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…

New risk measures for quantiles under ambiguity improve risk sharing.

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

Choquet and minimax expectations are equivalent in European option pricing.

In the paper we give necessary and sufficient conditions for the Jensen inequality to hold for the generalized Choquet integral with respect to a pair of capacities. Next, we apply obtained result to the theory of risk aversion by providing the assumptions on utility function and capacities under which an agent is risk…

Choquet regularization improves exploration in RL.

Mobile app development in recent years has resulted in new products and features to improve human life. Mobile telematics is one such development that encompasses multidisciplinary fields for transportation safety. The application of mobile telematics has been explored in many areas, such as insurance and road safety. …

New insights into risk aversion for complex decision models.

Modeling reinsurance market, we find subgame perfect Nash equilibria.

Expands learning paradigm to stochastic orders using Choquet-Toland distance and Variational Dominance Criterion.

New principles for collapsing law-invariant functionals to means, extending beyond convexity.

The paper introduces risk consistency properties for credit ratings.

A new convex loss function optimizes set predictions with balanced size and coverage.

Short-time existence for the Einstein-Euler and the vacuum Einstein equations is proven using a Friedrich inspired formulation due to Choquet-Bruhat and York, where the system is cast into a symmetric hyperbolic form and the Riemann tensor is treated as one of the fundamental unknowns of the problem. The reduced system…

The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choque…

This work introduces a new metric for comparing imprecise probability models.

We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain st…

Proves properties of maximal hypersurfaces in specific spacetimes.

Characterizes continuity of monotone functionals in mixed topology.

Study transverse measures on infinite type hyperbolic surfaces.

This paper reviews incompatibilities of comonotonic risk measures.

Defines signed quasiregular curves and proves growth theorem.

This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their interconnectedness. The measure relies on the decomposition of systemic risk into sub-components …

PyTorch Geometric Signed Directed fills the gap for GNNs on signed and directed graphs.

The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.

Model-free preference under ambiguity defined and applied.

We follow the approach employed by Y. Choquet-Bruhat, J. Isenberg and D. Pollack in the case of closed manifolds and establish existence and non-existence results for the Einstein-scalar field constraint equations on asymptotically hyperbolic manifolds.

The paper solves an insurance problem using mean-variance and rank-dependent utility theory.

CSNE embeds signed networks by separating structural and fine-grained information.

Let K and L be disjoint closed oriented submanifolds of the n-sphere, with dimensions adding up to n-1. We define a map from their join K*L to the n-sphere whose degree up to sign equals their linking number, and then use this to find the desired linking integral.

DKMD is a fast signed statistic for comparing univariate distributions.

The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of financial supervisors. We decompose systemic risk into a number of interconnected seg…

When solving data analysis problems it is important to integrate prior knowledge and/or structural invariances. This paper contributes by a novel framework for incorporating algebraic invariance structure into kernels. In particular, we show that algebraic properties such as sign symmetries in data, phase independence,…

Complexity of signed graphs linked to Alexander polynomials and Lehmer's question.

We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem where one optimally c…

For long time the measurement of innovation has been in the forefront of policy makers' and researchers' agenda worldwide. Therefore, there is an ongoing debate about which indicators should be used to measure innovation. Recent approaches have favoured the use of composite innovation indicators. However, there is no c…

Grid homology invariant proved for lens space links.

The paper diagnoses factor models using characteristic axes and zero-curve restrictions.

Let $K$ be a non-trivial knot in $S^3$, and let $r$ and $r'$ be two distinct rational numbers of same sign, allowing $r$ to be infinite; we prove that there is no orientation-preserving homeomorphism between the manifolds $S^3_r(K)$ and $S^3_{r'}(K)$. We further generalize this uniqueness result to knots in arbitrary i…

This paper generalizes the bordered-algebraic knot invariant introduced in an earlier paper, giving an invariant now with more algebraic structure. It also introduces signs to define these invariants with integral coefficients. We describe effective computations of the resulting invariant.

In this paper, we propose a game theoretical adversarial intervention detection mechanism for reliable smart road signs. A future trend in intelligent transportation systems is ``smart road signs" that incorporate smart codes (e.g., visible at infrared) on their surface to provide more detailed information to smart veh…

The paper diagnoses factor-model pricing errors using characteristic axes and bridge-alpha curves.

We derive some integral inequalities for holomorphic maps between complex manifolds. As applications, some rigidity and degeneracy theorems for holomorphic maps without assuming any pointwise curvature signs for both the domain and target manifolds are proved, in which key roles are played by total integration of the f…

It is well-known that sigma-models with symmetric target spaces are classically integrable. At the example of the model with target space the flag manifold U(3)/U(1)^3 -- a non-symmetric space -- we show that the introduction of torsion allows to cast the equations of motion in the form of a zero-curvature condition fo…

We derive a gauge theoretic invariant of integral homology 3-spheres which counts gauge orbits of irreducible, perturbed flat SU(3) connections with sign given by spectral flow. To compensate for the dependence of this sum on perturbations, the invariant includes contributions from the reducible, perturbed flat orbits.…

The famous Whitney formula relates the winding number of the smooth generic curve in the real plane to the number of its self-intersection points counted with appropriate signs. We extend this formula to smooth immersions of R^n to R^{2n}. Then use this result together with the general technique of Laplace integrals to…