Related papers: Chasing Tails: How Do People Respond to Wait Time …

In order to account for large variance and fat tail of damage by natural disaster, we study a simple model by combining distributions of disaster and population/property with their spatial correlation. We assume fat-tailed or power-law…

We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather…

To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…

We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…

Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy-tailed multivariate distributions of the relevant…

We formalize one aspect of reliability in the context of Mobility-on-Demand (MoD) systems by acknowledging the uncertainty in the pick-up time of these services. This study answers two key questions: i) how the difference between the stated…

Many existing approaches for generating predictions in settings with distribution shift model distribution shifts as adversarial or low-rank in suitable representations. In various real-world settings, however, we might expect shifts to…

It is well-known that large deviations of random walks driven by independent and identically distributed heavy-tailed random variables are governed by the so-called principle of one large jump. We note that further subtleties hold for such…

The total duration of drawdowns is shown to provide a moment-free, unbiased, efficient and robust estimator of Sharpe ratios both for Gaussian and heavy-tailed price returns. We then use this quantity to infer an analytic expression of the…

Existing observational approaches for learning human preferences, such as inverse reinforcement learning, usually make strong assumptions about the observability of the human's environment. However, in reality, people make many important…

We study the long-time behavior of decoupled continuous-time random walks characterized by superheavy-tailed distributions of waiting times and symmetric heavy-tailed distributions of jump lengths. Our main quantity of interest is the…

In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…

We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…

Instead of testing for unanimous agreement, I propose learning how broad of a consensus favors one distribution over another (of earnings, productivity, asset returns, test scores, etc.). Specifically, given a sample from each of two…

The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…

Capital allocation is a procedure used to assess the risk contributions of individual risk components to the total risk of a portfolio. While the conditional tail expectation (CTE)-based capital allocation is arguably the most popular…

Human activities can play a crucial role in the statistical properties of observables in many complex systems such as social, technological and economic systems. We demonstrate this by looking into the heavy-tailed distributions of…

This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…

The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…