Samuelson (1963) conjectured that accepting multiple independent gambles you would reject on a stand-alone basis violated expected utility theory. Ross (1999) and others presented examples where expected utility maximizers would accept multiple gambles that would be rejected on a stand-alone...

Two new measures for financial systemic risk are computed based on the time-varying conditional and unconditional probability of simultaneous failures of several financial institutions. These risk measures are derived from a multivariate model that allows for skewed and heavy-tailed changes in...

Let (S, B, G ) and (T, C,Q) be probability spaces, with Q nonatomic, and H = {h in C : Q(H) 0}. In some economic models, the following conditional law of large numbers (LLN) is requested. There are a probability space (O,A,P) and a process X = {Xt : t in T}, with state space (S, B), satisfying...

We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...

Modern quantitative theories of international trade rely on the probabilistic representation of technology and the assumption of the Law of Large Numbers (LLN), which ensures that when the number of traded goods goes to infinity, trade flows can be expressed via a deterministic gravity equation...

Nicolas Bernoulli suggested the St Petersburg game, nearly 300 years ago, which is widely believed to produce a paradox in decision theory. This belief stems from a long standing mathematical error in the original calculation of the expected value of the game. This article argues that, in...

Sample measures of top centile contributions to the total (concentration) are downward biased, unstable estimators, extremely sensitive to sample size and concave in accounting for large deviations. It makes them particularly unfit in domains with power law tails, especially for low values of...

We study the asymptotic behavior of lattice power variations of two-parameter ambit fields that are driven by white noise. Our first result is a law of large numbers for such power variations. Under a constraint on the memory of the ambit field, normalized power variations are shown to converge...

We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and...