A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover can be tuned to the needs of a particular model in finance, or operations research more broadly. Although the idea of...

Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, stress testing programs, etc. These computations require from several hundred up to a few million revaluations. The...

This paper combines the standard incomplete markets model of uninsurable idiosyncratic risks and borrowing constraints with the Arrow/Romer approach to endogenous growth to analyze the interaction of risk, growth, and inequality, the latter also endogenously determined in equilibrium. We derive...

In the context of a continuum of random variables, arising, for example, as rates of return in financial markets with a continuum of assets, or as individual responses in games with a continuum of players, an important economic issue is to show how idiosyncratic risk can be removed through some...

This paper combines the standard incomplete markets model of uninsurable idiosyncratic risks and borrowing constraints with the Arrow/Romer approach to endogenous growth to analyze the interaction of risk, growth, and inequality, the latter also endogenously determined in equilibrium. We derive...

We present a global sensitivity analysis that quantifies the impact of parameter uncertainty on model outcomes. Specifically, we propose variance‐decomposition‐based Sobol' indices to establish an importance ranking of parameters and univariate effects to determine the direction of their...

In actuarial science, collective risk models, in which the aggregate claim amount of a portfolio is defined in terms of random sums, play a crucial role. In these models, it is common to assume that the number of claims and their amounts are independent, even if this might not always be the...

Interbank borrowing and lending may induce systemic risk into financial markets. A simple model of this is to assume that log-monetary reserves are coupled, and that banks can also borrow/lend from/to a central bank. When all banks optimize their cost of borrowing and lending, this leads to a...

In the seismological and geophysics literature, it is suggested by numerous authors that the elapsed time between two earthquakes at a given location should be represented by either an exponential or Weibull distribution. In addition, the seismic gap hypothesis states that large waiting times...

Mixed exponential distributions are frequently used in actuarial risk modeling. Distributions obtained through mixtures allow greater flexibility in the modeling of non-life insurance loss amounts . Several research works have studied mixed exponential distributions in univariate and...