3 papers
math.ST2021
Distributionally robust tail bounds based on Wasserstein distance and -divergence
Corina Birghila, Maximilian Aigner, Sebastian Engelke
In this work, we provide robust bounds on the tail probabilities and the tail index of heavy-tailed distributions in the context of model misspecification. They are defined as the…
q-fin.RM2020
Optimal Insurance under Maxmin Expected Utility
Corina Birghila, Tim J. Boonen, Mario Ghossoub
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Sc…
math.AG2016
Blow up of conductors
Corina Birghila, Mathias Schulze
We generalize results of P.M.H. Wilson describing situations where the blow up of the conductor ideal of a scheme coincides with the normalization.