A Duality Between Utility Transforms and Probability Distortions
This paper presents a fundamental #mathematical duality linking utility transforms and #probability distortions, which are vital in...
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- 2 juin
Do Finance Researchers Address Sample Size Issues? – A Bayesian Inquiry in the AI Era.
Traditional #statistical and #algorithm-based methods used to analyze #bigdata often overlook small but significant evidence. #bayesian...
- 19 avr.
Optimal moral-hazard-free reinsurance under extended distortion premium principles
"We study an optimal #reinsurance problem under a diffusion #riskmodel for an #insurer who aims to minimize the #probability of lifetime...
- 14 avr.
Policyholders' Subjective Beliefs: Approaching New Drivers of Insurance ESG Reputational Risk
This paper explores the #reputationalrisk associated with #esg investments and provides a formal theoretical valuation system for ESG...
- 14 avr.
Bowley Insurance with Expected Utility Maximization of the Policyholders
This paper examines the Bowley solution in the context of #insurance contracts using the expected utility framework. Specifically, the...
- 13 avr.
Systemic risk measured by systems resiliency to initial shocks
This study proposes a new approach to the analysis of #systemicrisk in #financialsystems, which is based on the #probability amount of...
- 16 mars
An axiomatic approach to default risk and model uncertainty in rating systems
"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk...
- 13 mars
The (Un)Limited Use of AI Segmentation in the Insurance Sector
This study examines the use of #artificialintelligence (#ai) and #bigdata data analytics by #insurers in #belgium for segmentation...
- 2 mars
Bankers Trust and the Birth of Modern Risk Management
This paper discusses the origins of modern #riskmanagement concepts and applications in the #financialindustry, which were developed at...
- 27 janv.
The Probability Conflation: A Reply
"We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between...
- 26 janv.
Bayesian Model Selection and Prior Calibration for Structural Models in Economic Experiments
"Bayesian estimates from experimental data can be influenced by highly diffuse or "uninformative" priors. This paper discusses how...
- 26 janv.
Aggregating heavy-tailed random vectors: from finite sums to Lévy processes
"... we study the behavior of the asymptotic tail distribution of independent sums of heavy-tailed random vectors under the paradigm of...
- 30 nov. 2022
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
" In this paper, we use stochastic algorithms schemes in estimating MSRM [market data based systemic risk measure] and prove that the...
- 10 nov. 2022
Conditional divergence risk measures
"Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular...
- 27 oct. 2022
A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
" The aim is to come up with a convex risk functional that incorporates a sefety margin with respect to nonparametric uncertainty and...
- 26 oct. 2022
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
"We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE)...
- 16 sept. 2022
Flood Risk Insurance: A Micro-Economic Foundation
"... we characterize Pareto-optimal risk-sharing contracts in a market with multiple policyholders and one representative insurer. With...
- 9 sept. 2022
Quasi-convexity in mixtures for generalized rank-dependent functions
"Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis. We study a general class of non-monotone...
- 17 août 2022
Quasi-Logconvex Measures of Risk
"This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the...
- 13 juil. 2022
The Road Less Travelled: Keynes and Knight on Probability and Uncertainty
"The possibilities of a Keynesian-Knightian synthesis as a way forward are considered by comparing these signposts. It is argued that,...
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