From the 1 of 14 linked papers with an AI index.
14 papers
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…
Model Combination in Risk Sharing under Ambiguity
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
The paper studies how an agent can share continuous‑time losses with a counterparty when the true loss distribution is ambiguous, using a chi‑squared divergence based mean‑variance…
Adapted Law Invariance and Time-Consistent Dynamic Risk Measures
Mathias Beiglböck, Mathias Beiglböck, Silvana M. Pesenti +1
In static risk measurement, law invariance expresses the principle that the risk of a position should depend only on its distribution, and not on the particular probability space o…
Dual Representation of Robust Risk Measures and Uncertainty Sets
Marlon R. Moresco, Marcelo Righi, Silvana M. Pesenti
We consider robust risk measures that arise as worst-case values of convex risk measures evaluated on uncertainty sets. We characterize continuity properties of robust risk measure…
Optimal payoff under Bregman-Wasserstein divergence constraints
Silvana M. Pesenti, Steven Vanduffel, Yang Yang +1
We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate ``too much'' from a given benchmark. We solve this…
Discrimination-insensitive pricing
Kathleen Miao, Silvana Pesenti
Rendering fair prices for financial, credit, and insurance products is of ethical and regulatory interest. In many jurisdictions, discriminatory covariates, such as gender and ethn…