2 citations · 3 across the 7 of their papers we have counts for
9 papers
A note on the induction of comonotonic additive risk measures from acceptance sets
Samuel Solgon Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi +1
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets in…
Product Disintegrations: Some Examples
Luísa Borsato, Eduardo Horta, Rafael Rigão Souza
We provide a collection of examples involving the concept of a product disintegration, which generalizes exchangeability.
The limitations of comonotonic additive risk measures: a literature review
Samuel Solgon Santos, Marcelo Brutti Righi, Eduardo de Oliveira Horta
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measur…
A characterization of the strong law of large numbers for Bernoulli sequences
Luísa Borsato, Eduardo Horta, Rafael Rigão Souza
The law of large numbers is one of the most fundamental results in Probability Theory. In the case of independent sequences, there are some known characterizations; for instance, i…
Minkowski gauges and deviation measures
Marlon Moresco, Marcelo Righi, Eduardo Horta
We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that, given a suitable acceptance set, any positive homogeneous…
Smoothing quantile regressions
Marcelo Fernandes, Emmanuel Guerre, Eduardo Horta
We propose to smooth the entire objective function, rather than only the check function, in a linear quantile regression context. Not only does the resulting smoothed quantile regr…