2 papers
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…