The analysis of loss data is of utmost interest in many branches of the financial and insurance businesses, in structural engineering and in operations research among others. In the financial industry the determination of the distribution of losses is the first step to take in order to compute...

We present some results of the application of maximum entropy methods to determine the probability density of compound random variables. This problem is very important in the banking and insurance business, but also appears in system reliability and in operations research. The mathematical tool...

The maximum entropy method was originally proposed as a variational technique to determine probability densities from the knowledge of a few expected values. The applications of the method beyond its original role in statistical physics are manifold. An interesting feature of the method is its...

To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for...

In this paper the set of all second-order stochastic dominance (SSD) efficient portfolios is characterized by using a series of mixed-integer linear constrains. Our derivation employs a combination of the first-order conditions of the utility maximization problem together with a judicious use of...

In this paper it is shown how the set of all portfolios which are second-order stochastic dominance efficient can be characterized by using a series of mixed-integer linear constrains. Our derivation employs a combination of the first-order conditions of the utility maximization problem together...

We present a generalization of Cochrane and Saá-Requejo's good-deal bounds which allows to include in a flexible way the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility models of option pricing is provided where closed-form...

The expansion of videoconference lectures has raised concerns about the potential harm they could represent for the attention and engagement of college students. By observing the behavior of a large population of participants in an identical flipped course before and after March 2020, levels of...

This paper develops simple measures of engagement and attention which are particularly appealing for active learning. They can be computed at a very low cost with Electronic Response Systems which are wildly available and whose use has substantially increased with the COVID-19-driven shift to...

For many countries, information in FX markets about the fundamentals of their economies is reduced to two relevant and competing channels, namely, their currency's exchange rate with euro and the US dollar. In light of this, this paper proposes an approach which can help establishing which one...