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Optimal insurance with mean-deviation measures
The structure of these optimal indemnities remains unchanged if there is a limit on the insurance premium budget.
Monotonic mean-deviation risk measures
The form is a combination of the deviation-related functional and the expectation, and such measures belong to the class of consistent risk measures.
Diversification quotients based on VaR and ES
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model.
Choquet regularization for reinforcement learning
We propose \emph{Choquet regularizers} to measure and manage the level of exploration for reinforcement learning (RL), and reformulate the continuous-time entropy-regularized RL problem of Wang et al. (2020, JMLR, 21(198)) in which we replace the differential entropy used for regularization with a Choquet regularizer.
Diversification quotients: Quantifying diversification via risk measures
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity.
Cash-subadditive risk measures without quasi-convexity
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims.
Risk Concentration and the Mean-Expected Shortfall Criterion
Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk assessment and provide the first economic axiomatic foundation for the family of ES.
