Risk measurement with the equivalent utility principles.

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable at- tention in the financial mathematics literature. Mathematically, a risk measure is a mapping from a class of random variables defined on some measurable space to the (extended) real line. Economically, a risk measure should capture the preferences of the decision-maker. In incomplete financial markets, prices are no more unique but depend on the agents' attitudes towards risk. This paper complements the study initiated in Denuit, Dhaene & Van Wouwe (1999) and considers several theories for decision under uncertainty: the classical expected utility paradigm, Yaari's dual approach, maximin expected utility theory, Choquet expected utility theory and Quiggin rank-dependent utility theory. Building on the actuarial equivalent utility pricing principle, broad classes of risk measures are generated, of which most classical risk measures appear to be particular cases. This approach shows that most risk measures studied recently in the financial literature disregard the utility concept (i.e. correspond to linear utilities), causing some deficiencies. Some alternatives proposed in the literature are discussed, based on exponential utilities.Actuarial; Coherence; Decision; Expected; Market; Markets; Measurement; Preference; Premium; Prices; Pricing; Principles; Random variables; Research; Risk; Risk measure; Risk measurement; Space; Studies; Theory; Uncertainty; Utilities; Variables;

A Holographic Proof of R\'enyi Entropic Inequalities

We prove R\'enyi entropic inequalities in a holographic setup based on the recent proposal for the holographic formula of R\'enyi entropies when the bulk is stable against any perturbation. Regarding the R\'enyi parameter as an inverse temperature, we reformulate the entropies in analogy with statistical mechanics, which provides us a concise interpretation of the inequalities as the positivities of entropy, energy and heat capacity. This analogy also makes clear a thermodynamic structure in deriving the holographic formula. As a by-product of the proof we obtain a holographic formula to calculate the quantum fluctuation of the modular Hamiltonian. A few examples of the capacity of entanglement are examined in detail.Comment: 29 pages, 1 figure; v3: references added, our assumption for the proof clarifie

Many Faces of Entropy or Bayesian Statistical Mechanics

Some 80-90 years ago, George A. Linhart, unlike A. Einstein, P. Debye, M. Planck and W. Nernst, has managed to derive a very simple, but ultimately general mathematical formula for heat capacity vs. temperature from the fundamental thermodynamical principles, using what we would nowadays dub a "Bayesian approach to probability". Moreover, he has successfully applied his result to fit the experimental data for diverse substances in their solid state in a rather broad temperature range. Nevertheless, Linhart's work was undeservedly forgotten, although it does represent a valid and fresh standpoint on thermodynamics and statistical physics, which may have a significant implication for academic and applied science.Comment: submitte

Bipolar Fuzzy Integrals

In decision analysis and especially in multiple criteria decision analysis, several non additive integrals have been introduced in the last sixty years. Among them, we remember the Choquet integral, the Shilkret integral and the Sugeno integral. Recently, the bipolar Choquet integral has been proposed for the case in which the underlying scale is bipolar. In this paper we propose the bipolar Shilkret integral and the bipolar Sugeno integral. Moreover, we provide an axiomatic characterization of all these three bipolar fuzzy integrals.Comment: 15 page

Ceteris Paribus Laws

Laws of nature take center stage in philosophy of science. Laws are usually believed to stand in a tight conceptual relation to many important key concepts such as causation, explanation, confirmation, determinism, counterfactuals etc. Traditionally, philosophers of science have focused on physical laws, which were taken to be at least true, universal statements that support counterfactual claims. But, although this claim about laws might be true with respect to physics, laws in the special sciences (such as biology, psychology, economics etc.) appear to have—maybe not surprisingly—different features than the laws of physics. Special science laws—for instance, the economic law “Under the condition of perfect competition, an increase of demand of a commodity leads to an increase of price, given that the quantity of the supplied commodity remains constant” and, in biology, Mendel's Laws—are usually taken to “have exceptions”, to be “non-universal” or “to be ceteris paribus laws”. How and whether the laws of physics and the laws of the special sciences differ is one of the crucial questions motivating the debate on ceteris paribus laws. Another major, controversial question concerns the determination of the precise meaning of “ceteris paribus”. Philosophers have attempted to explicate the meaning of ceteris paribus clauses in different ways. The question of meaning is connected to the problem of empirical content, i.e., the question whether ceteris paribus laws have non-trivial and empirically testable content. Since many philosophers have argued that ceteris paribus laws lack empirically testable content, this problem constitutes a major challenge to a theory of ceteris paribus laws

Optimizing information flow in small genetic networks. II: Feed forward interactions

Central to the functioning of a living cell is its ability to control the readout or expression of information encoded in the genome. In many cases, a single transcription factor protein activates or represses the expression of many genes. As the concentration of the transcription factor varies, the target genes thus undergo correlated changes, and this redundancy limits the ability of the cell to transmit information about input signals. We explore how interactions among the target genes can reduce this redundancy and optimize information transmission. Our discussion builds on recent work [Tkacik et al, Phys Rev E 80, 031920 (2009)], and there are connections to much earlier work on the role of lateral inhibition in enhancing the efficiency of information transmission in neural circuits; for simplicity we consider here the case where the interactions have a feed forward structure, with no loops. Even with this limitation, the networks that optimize information transmission have a structure reminiscent of the networks found in real biological systems

Discrete bipolar universal integrals

Abstract. The concept of universal integral, recently proposed, generalizes the Choquet, Shilkret and Sugeno integrals. Those integrals admit a discrete bipolar formulation, useful in those situations where the underlying scale is bipolar. In this paper we propose the concept of discrete bipolar universal integral, in order to provide a common framework for bipolar discrete integrals, including as special cases the discrete Choquet, Shilkret and Sugeno bipolar integrals. Moreover we provide two different axiomatic characterizations of the proposed discrete bipolar universal integral

Gaussian Quantum Information

The science of quantum information has arisen over the last two decades centered on the manipulation of individual quanta of information, known as quantum bits or qubits. Quantum computers, quantum cryptography and quantum teleportation are among the most celebrated ideas that have emerged from this new field. It was realized later on that using continuous-variable quantum information carriers, instead of qubits, constitutes an extremely powerful alternative approach to quantum information processing. This review focuses on continuous-variable quantum information processes that rely on any combination of Gaussian states, Gaussian operations, and Gaussian measurements. Interestingly, such a restriction to the Gaussian realm comes with various benefits, since on the theoretical side, simple analytical tools are available and, on the experimental side, optical components effecting Gaussian processes are readily available in the laboratory. Yet, Gaussian quantum information processing opens the way to a wide variety of tasks and applications, including quantum communication, quantum cryptography, quantum computation, quantum teleportation, and quantum state and channel discrimination. This review reports on the state of the art in this field, ranging from the basic theoretical tools and landmark experimental realizations to the most recent successful developments.Comment: 51 pages, 7 figures, submitted to Reviews of Modern Physic