Related papers: The USS Trustee's risky strategy
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in…
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…
A retiree's appetite for risk is a common input into the lifetime utility models that are traditionally used to find optimal strategies for the decumulation of retirement savings. In this work, we consider a retiree with potentially…
In response to growing concern about the reliability and reproducibility of published science, researchers have proposed adopting measures of greater statistical stringency, including suggestions to require larger sample sizes and to lower…
Standard uniform convergence results bound the generalization gap of the expected loss over a hypothesis class. The emergence of risk-sensitive learning requires generalization guarantees for functionals of the loss distribution beyond the…
University or college rankings have almost become an industry of their own, published by US News \& World Report (USNWR) and similar organizations. Most of the rankings use a similar scheme: Rank universities in decreasing score order,…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Estimating the probability of failure for expensive simulations is a central task in reliability analysis for structural design, power grid design, and safety certification, among other areas. This work derives credible intervals on the…
One of the long term goals of any college or university is increasing the student retention. The negative impact of student dropout are clear to students, parents, universities and society. The positive effect of decreasing student…
We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by…
We briefly review the well-known risks, weaknesses and limitations of spreadsheets and then introduce some more. We review and slightly extend our previous work on the importance and criticality of spreadsheets in the City of London,…
To take unit commitment (UC) decisions under uncertain net load, most studies utilize a stochastic UC (SUC) model that adopts a one-size-fits-all representation of uncertainty. Disregarding contextual information such as weather forecasts…
This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main…
Substance overdose mortality in the United States claimed over 80,000 lives in 2023, with the COVID-19 pandemic exacerbating existing trends through healthcare disruptions and behavioral changes. Estimating excess mortality, defined as…
Previous work suggests that the charter value hypothesis is theoretically grounded and empirically supported, but not universally. Accordingly, this paper aims to perform an analysis of the relations between charter value, risk taking, and…
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and…
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk…
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference…
End User Computing carries significant risks if not well controlled. This paper is a case study of the introduction of an updated End User Computing policy at the Wesleyan Assurance Society. The paper outlines the plan and identifies…
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it…