Related papers: Value at risk and the diversification dogma
Diversity is a commonly known principle in the design of recommender systems, but also ambiguous in its conceptualization. Through semi-structured interviews we explore how practitioners at three different public service media organizations…
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder.…
Accuracy and diversity have long been considered to be two conflicting goals for recommendations. We point out, however, that as the diversity is typically measured by certain pre-selected item attributes, e.g., category as the most…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
Estimating the dependences between random variables, and ranking them accordingly, is a prevalent problem in machine learning. Pursuing frequentist and information-theoretic approaches, we first show that the p-value and the mutual…
Individuals in groups must often choose between acting selfishly and cooperating for the common good. The choices they make are based on their beliefs on how they expect their actions to affect others. We show that for a broad set of…
The Brain Drain phenomenon is particularly heterogeneous and is characterized by peculiar specifications. It influences the economic fundamentals of both the country of origin and the host one in terms of human capital accumulation. Here,…
The general relationship between an arbitrary frequency distribution and the expectation value of the frequency distributions of its samples is esablished. A set of combinations of expectation values whose value does not in general depend…
We uncover a close link between outside options and risk attitude: when a decision-maker gains access to an outside option, her behaviour becomes less risk-averse, and conversely, any observed decrease of risk-aversion can be explained by…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain…
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a…
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We…
In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at risk in order over the whole confidence levels to avoid the…
Dependence on information, including for some of the world's largest organisations such as governments and multi-national corporations, has grown rapidly in recent years. However, reports of information security breaches and their…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…