Related papers: The USS Trustee's risky strategy
We propose a new class of monetary risk measures for assessing financial and ESG risk. The construction is based on classical shortfall risk measures with loss function replaced by a multi-attribute utility function. We present an extensive…
The demand for voluntary insurance against low-probability, high-impact risks is lower than expected. To assess the magnitude of the demand, we conduct a meta-analysis of contingent valuation studies using a dataset of experimentally…
Index insurance has been promoted as a promising solution for reducing agricultural risk compared to traditional farm-based insurance. By linking payouts to a regional factor instead of individual loss, index insurance reduces monitoring…
We explore the statistical and economic importance of restrictions on the dynamics of risk compensation from the perspective of a real-time Bayesian learner who predicts bond excess returns using dynamic term structure models (DTSMs). The…
Misconduct accounts for the majority of retracted scientific publications and this database reveals the disturbing trend in science~\citep{fang2012misconduct, brainard2018massive}. The objective of the study is to find the association among…
Health insurance companies cover half of the United States population through commercial employer-sponsored health plans and pay 1.2 trillion US dollars every year to cover medical expenses for their members. The actuary and underwriter…
We build a balance sheet-based model to capture run risk, i.e., a reduced potential to raise capital from liquidity buffers under stress, driven by depositor scrutiny and further fueled by fire sales in response to withdrawals. The setup is…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
Though deep learning has achieved advanced performance recently, it remains a challenging task in the field of medical imaging, as obtaining reliable labeled training data is time-consuming and expensive. In this paper, we propose a…
We study the problem of resilient strategies in the presence of uncertainty. Resilient strategies enable an agent to make decisions that are robust against disturbances. In particular, we are interested in those disturbances that are able…
The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…
Some risks have extremely high stakes. For example, a worldwide pandemic or asteroid impact could potentially kill more than a billion people. Comfortingly, scientific calculations often put very low probabilities on the occurrence of such…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
In order to deploy deep neural networks (DNNs) in high-stakes scenarios, it is imperative that DNNs provide inference robust to external perturbations - both intentional and unintentional. Although the resilience of DNNs to intentional and…
Current contingency reserve criteria ignore the likelihood of individual contingencies and, thus, their impact on system reliability and risk. This paper develops an iterative approach, inspired by the current security-constrained unit…
In this paper, we propose a method for bounding the probability that a stochastic differential equation (SDE) system violates a safety specification over the infinite time horizon. SDEs are mathematical models of stochastic processes that…
Power systems are getting more complex than ever and are consequently operating close to their limit of stability. Moreover, with the increasing demand of renewable wind generation, and the requirement to maintain a secure power system, the…
The time it takes a student to graduate with a university degree is mitigated by a variety of factors such as their background, the academic performance at university, and their integration into the social communities of the university they…
The present research attempts to identify the impact of retracted papers on previous or subsequent papers. We consider the 5693 retracted papers from 1975 to 2020 indexed in the Web of Science database based on bibliometric methods. We use…