Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot-market transactions. We examine the performance consequences of this organizational choice in the context of relationships established when VCs syndicate portfolio company investments,...

The long-term success of low-risk stocks over high-risk stocks runs contrary to the basic finance principle that risk is compensated with higher expected returns. Our paper examines this low-risk anomaly using Coarsened Exact Matching to balance high and low-risk stock portfolios on industry,...

We introduce Negative Binomial Autoregressive (NBAR) processes for (univariate and bivariate) count time series. The univariate NBAR process is defined jointly with an underlying intensity process, which is autoregressive gamma. The resulting count process is Markov, with negative binomial...

Weather risk affects agricultural production. Index insurance has been proposed to hedge against severe weather risk, but large basis risk and low demand accompany current piecewise-linear index insurance contracts. We propose embedding a neural network-based optimization scheme into an expected...

Poisson random effect panel data model is widely used in non-life insurance for posterior rate making. Recently, Lee et al. (2020) identify one shortcoming of the shared random effect assumption, which introduces both the marginal count distribution and the serial dependence between counts at...

Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot-market transactions. We examine the performance consequences of this organizational choice in the context of relationships established when VCs syndicate portfolio company investments....

Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the term structure of risks. We introduce the class of noncausal affine linear factor models by considering factors that are affine in reverse time....

This paper analyses the purchase and redemption behaviour of mutual fund investors and its implications on fund liquidity risk. We collect a novel set of proprietary data which contains a large number of French investors holding funds with various degrees of asset liquidity. We build a...