12 citations · 57 across the 23 of their papers we have counts for
4 papers · 1 filter
Fractional Risk Process in Insurance
Arun Kumar, Nikolai Leonenko, Alois Pichler
Important models in insurance, for example the Carm{é}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arriva…
Computing with Hamiltonian operators
R. Vitolo
Hamiltonian operators are used in the theory of integrable partial differential equations to prove the existence of infinite sequences of commuting symmetries or integrals. In this…
Martingale Characterizations of Risk-Averse Stochastic Optimization Problems
Alois Pichler, Ruben Schlotter
This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorith…
Entropy Based Risk Measures
Alois Pichler, Ruben Schlotter
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviati…