Results 21 to 30 of about 101 (91)

Efficiency in Pure‐Exchange Economies With Risk‐Averse Monetary Utilities

Mathematical Finance, Volume 36, Issue 1, Page 99-117, January 2026.
ABSTRACT We study Pareto efficiency in a pure‐exchange economy where agents' preferences are represented by risk‐averse monetary utilities. These coincide with law‐invariant monetary utilities, and they can be shown to correspond to the class of monotone, (quasi‐)concave, Schur concave, and translation‐invariant utility functionals. This covers a large
Mario Ghossoub, Michael B. Zhu
wiley   +1 more source

Multivariate Fréchet copulas and conditional value‐at‐risk

International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 7, Page 345-364, 2004., 2004
Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
Werner Hürlimann
wiley   +1 more source

Upper Comonotonicity and Risk Aggregation Under Dependence Uncertainty

Mathematical Finance, Volume 36, Issue 1, Page 118-139, January 2026.
ABSTRACT In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multimarginal couplings, as a generalization of well‐known correlation statistics such as the Pearson correlation. The first
Corrado De Vecchi, Max Nendel, Jan Streicher   +2 more
wiley   +1 more source

Comonotonic‐Based Time Series Clustering With Constraints: A Review and a Conceptual Framework

Environmetrics, Volume 36, Issue 8, December 2025.
ABSTRACT Time series clustering is a widely used unsupervised learning approach that identifies groups of similar time series to uncover hidden patterns in complex datasets. In recent years, this technique has gained traction in the analysis of geo‐referenced time series, where spatial information must be incorporated into the dissimilarity measure to ...
Alessia Benevento, Fabrizio Durante, Roberta Pappadà   +2 more
wiley   +1 more source

Marginal Reputation

Econometrica, Volume 93, Issue 6, Page 2007-2042, November 2025.
We study reputation formation where a long‐run player repeatedly observes private signals and takes actions. Short‐run players observe the long‐run player's past actions but not her past signals. The long‐run player can thus develop a reputation for playing a distribution over actions, but not necessarily for playing a particular mapping from signals ...
Daniel Luo, Alexander Wolitzky
wiley   +1 more source

A multivariate Poisson model based on a triangular comonotonic shock construction

Canadian Journal of Statistics, Volume 53, Issue 3, September 2025.
Abstract Multi‐dimensional data frequently occur in many different fields, including risk management, insurance, biology, environmental sciences, and many more. In analyzing multivariate data, it is imperative that the underlying modelling assumptions adequately reflect both the marginal behaviour and the associations between components.
Orla A. Murphy, Juliana Schulz
wiley   +1 more source

Degree of nearly comonotone approximation of periodic functions

Asian-European Journal of Mathematics, 2023
Let a [Formula: see text]-periodic function [Formula: see text] change its monotonicity at a finitely even number of points [Formula: see text] of the period. The degree of approximation of this [Formula: see text] by trigonometric polynomials which are comonotone with it, i.e.
openaire   +3 more sources

Distortion risk measures: Prudence, coherence, and the expected shortfall

Mathematical Finance, Volume 34, Issue 4, Page 1291-1327, October 2024.
Abstract Distortion risk measures (DRM) are risk measures that are law invariant and comonotonic additive. The present paper is an extensive inquiry into this class of risk measures in light of new ideas such as qualitative robustness, prudence and no reward for concentration, and tail relevance.
Massimiliano Amarante, Felix‐Benedikt Liebrich   +1 more
wiley   +1 more source

Robust distortion risk measures

Mathematical Finance, Volume 34, Issue 3, Page 774-818, July 2024.
Abstract The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well‐informed decisions. In this paper, we quantify, for the class of distortion risk measures with an absolutely continuous distortion function, its robustness to distributional uncertainty by deriving ...
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel   +2 more
wiley   +1 more source

On comonotonically additive interval-valued functionals and interval-valued Choquet integrals(II) [PDF]

Journal of Korean Institute of Intelligent Systems, 2004
In this paper, we will define comonotonically additive interval-valued functionals which are generalized comonotonically additive real-valued functionals in Schmeidler[14] and Narukawa[12], and prove some properties of them. And we also investigate some relations between comonotonically additive interval-valued functionals and interval-valued Choquet ...
Lee-Chae Jang, Tae-Kyun Kim, Jong-Duek Jeon   +2 more
openaire   +1 more source