Informally, a statistical functional T on a set of probability measures M on the real line is
elicitable if it can be defined as the minimizer of a suitable expected scoring function. The …

A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …

This paper presents novel characterization results for classes of law-invariant star-shaped
functionals. We begin by establishing characterizations for positively homogeneous and star …

In classical Markov decision process (MDP) theory, we search for a policy that, say,
minimizes the expected infinite horizon discounted cost. Expectation is, of course, a risk …

This study constructs an extended value-at-risk model that incorporates all microstructural
liquidity components using a high-quality tick-by-tick index options market dataset. Out-of …

A spectral risk measure (SRM) is a weighted average of value at risk where the weighting
function (also known as risk spectrum or distortion function) characterizes a decision maker's …

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 …

A new risk measure, the Lambda Value-at-Risk (VaR), was proposed from a theoretical point
of view as a generalization of the ordinary VaR in the literature. Motivated by the recent …

We propose the star-shaped acceptability indexes as generalizations of both the
approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the …

In this paper, we study the risk-sharing problem among multiple agents using lambda value
at risk (Λ VaR) as their preferences via the tool of inf-convolution, where Λ VaR is an …