3 papers
q-fin.RM2026
Two-Regime Risk Measures under Convex Loss
Mihaela-Adriana Nistor, Ionel Popescu
We study a two-regime summary of a real-valued loss distribution. The two representative levels and the boundary between them are chosen by minimizing a convex residual loss. When…
math.PR2026
One-Cut Risk Profiles under Quadratic Loss: Discrete Convexity, Continuous Limits, and Higher Dimensions
Mihaela-Adriana Nistor, Ionel Popescu
In this note we study a two-regime representation of a loss random variable under quadratic error. For a finite law we compute exactly the change of the optimal risk when one atom…
math.PR2026
A property of log-concave and weakly-symmetric distributions for two step approximations of random variables
Mihaela-Adriana Nistor, Ionel Popescu
In this paper we introduce a generalization of classical risk measures in which the risk is represented by a step function taking two values, corresponding to two endogenously dete…