Research related to child welfare often suggests complicated relationships between child maltreatment, social disadvantage, program and policy effects, individual development, and population conditions that interact and change over time. New theories and conceptual models that account for this...

We develop explicit asymptotic expansions of the portfolio Value-at-Risk (VaR) and portfolio Expected Shortfall (ES) for a large family of multivariate elliptical distributions. The family includes distributions of exponential type such as Kotz distributions, and power type such as the...

Discretionary service industries are those in which customers prefer not to wait in line, but also derive more value from a longer service time; this is common in healthcare interactions or repair settings. In such settings, the service provider often can obtain not only a fixed fee for the...

This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size of the ambiguity set, which is often lack of business...

We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint heavy-tailed random vectors featuring not only distinct...

This paper develops a conditional quantile model that can learn long term and short term memories of sequential data. It builds on sequential neural networks and yet outputs interpretable dynamics. We apply the model to asset return time series across eleven asset classes using historical data...

Surge pricing finds equilibrium prices in periods of excessive demand or scarce supply. Effective or not, it is a business risk when riders perceive spiking prices as exploitation of people's emergency. This paper studies subsidy policies that avoid the downside of surge pricing when...