3 papers
q-fin.RM2026
Preference robust distortion risk measures
Carole Bernard, Silvana M. Pesenti
We introduce a framework for preference-robust decision making when preferences over risk are modelled through generalised distortion risk measures. Unlike distributional robustnes…
math.ST2020
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference
Carole Bernard, Alfred Müller
The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expec…
q-fin.CP2019
Bounds on Multi-asset Derivatives via Neural Networks
Luca De Gennaro Aquino, Carole Bernard
Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket opt…