Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Doldi, Alessandro"'
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underlying sigma-algebra. We show that if this family satisfies a natural co
Externí odkaz:
http://arxiv.org/abs/2401.09054
Autor:
Biagini, Francesca, Doldi, Alessandro, Fouque, Jean-Pierre, Frittelli, Marco, Meyer-Brandis, Thilo
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of the funda
Externí odkaz:
http://arxiv.org/abs/2306.11599
Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly d
Externí odkaz:
http://arxiv.org/abs/2306.10752
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key related theoretical aspects, with a particular focus on the fairness propert
Externí odkaz:
http://arxiv.org/abs/2302.10183
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal al
Externí odkaz:
http://arxiv.org/abs/2212.11752
Autor:
Doldi, Alessandro, Maggis, Marco
Given a real valued functional T on the space of bounded random variables, we investigate the problem of the existence of a conditional version of nonlinear means. We follow a seminal idea by Chisini (1929), defining a mean as the solution of a funct
Externí odkaz:
http://arxiv.org/abs/2209.10871
Autor:
Doldi, Alessandro, Frittelli, Marco
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk M
Externí odkaz:
http://arxiv.org/abs/2010.11515
Autor:
Doldi, Alessandro, Frittelli, Marco
The objective of this paper is to develop a duality between a novel Entropy Martingale Optimal Transport problem (A) and an associated optimization problem (B). In (A) we follow the approach taken in the Entropy Optimal Transport (EOT) primal problem
Externí odkaz:
http://arxiv.org/abs/2005.12572
Autor:
Doldi, Alessandro, Frittelli, Marco
A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics (2021), for the analysis of the equilibrium among financial institutions or in insurance-reinsur
Externí odkaz:
http://arxiv.org/abs/1912.12226
Autor:
Doldi, Alessandro1 (AUTHOR), Frittelli, Marco1 (AUTHOR) marco.frittelli@unimi.it
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p435-480. 46p.
