Related papers: Increasing countries financial resilience through …
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
The recovery of society after a large scale disaster generally consists of two phases, short- and long-term recoveries. The problem of short-term recovery is rather close to the problem of resilience in their goal, namely, bouncing the…
There is little disagreement among insurance actuaries and financial economists about the societal benefits of longevity-risk pooling in the form of life annuities, defined benefit pensions, self-annuitization funds, and even tontine…
Weather parametric insurance relies on weather indices rather than actual loss assessments, enhancing claims efficiency, reducing moral hazard, and improving fairness. In the context of increasing climate change risks, despite growing…
We study adaptive pooling under predictive heterogeneity in high-dimensional multivariate time series forecasting, where global models improve statistical efficiency but may fail to capture heterogeneous predictive structure, while naive…
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure of losses in a pool consisting of a…
The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a…
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences…
Social and political polarization is a significant source of conflict and poor governance in many societies. Thus, understanding its causes has become a priority of scholars across many disciplines. Here we demonstrate that shifts in…
With the onset of climate change and the increasing need for effective policies, a multilateral approach is needed to make an impact on the growing threats facing the environment. Through the use of systematic analysis by way of C-ROADS and…
Pooled testing offers an efficient solution to the unprecedented testing demands of the COVID-19 pandemic, although with potentially lower sensitivity and increased costs to implementation in some settings. Assessments of this trade-off…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
Statistical methods are proposed to select homogeneous locations when analyzing spatial block maxima data, such as in extreme event attribution studies. The methods are based on classical hypothesis testing using Wald-type test statistics,…
Credit risk prediction is an effective way of evaluating whether a potential borrower will repay a loan, particularly in peer-to-peer lending where class imbalance problems are prevalent. However, few credit risk prediction models for…
Many empirical studies have shown that government quality is a key determinant of vulnerability to natural disasters. Protection against natural disasters can be a public good -- flood protection, for example -- or a natural monopoly --…
In this article, we assess the benefits of coordination and partnerships between governments and private insurers, and provide further evidence for microinsurance products as powerful and cost-effective tools for achieving poverty…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal risks. By applying extreme value theory, we evaluate the…
We study under which circumstances Departments of Defenses should be willing to deploy a joint parts part pooling program for their major weapon systems. Using cooperative game theory and Markov Decision Processes, we demonstrate that the…
In most of the recent literature on state capacity, the significance of wars in state-building assumes that threats from foreign countries generate common interests among domestic groups, leading to larger investments in state capacity.…