This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for...

When consumers carry multiple debts, how do they decide which debt to repay first? Normatively, consumers should repay the debt with the highest interest rate most quickly. However, because people tend to break complicated tasks into more manageable parts, and because losses are most distressing when segregated, the authors hypothesize that people will pay off the smallest loan first to reduce ...

background: malnutrition has been linked to poor outcomes after elective joint arthroplasty, but the risk of unplanned postoperative intensive care unit (icu) admission in malnourished arthroplasty patients is unknown. methods: 1098 patients were followed as part of a prospective risk stratification program at a tertiary, high-volume arthroplasty center. chronic malnutrition was defined as preo...

A global model that forecasts risk for portfolios with holdings across several markets will typically disagree with the predictions of a model specifically adapted to a single market. Given a global model and a collection of single market models, we describe an optimal, consistent way to embed the single market forecasts into the global model. The method involves framing the problem as an optim...

Recently, Support Vector Regression (SVR) has been applied to financial time series prediction. Typical characteristics of financial time series are nonstationary and noisy in nature. The volatility, usually time-varying, of the time series therefore contains some valuable information about the series. Previously, we had proposed to use the volatility in the data to adaptively changing the widt...

Recently, Support Vector Regression (SVR) has been applied to financial time series prediction. Typical characteristics of financial time series are non-stationary and noisy in nature. The volatility, usually time-varying, of the time series is therefore some valuable information about the series. Previously, we had proposed to use the volatility to adaptively change the width of the margin of ...

Using a standard reduction argument based on conditional expectations, this paper argues that risk sharing is always beneficial (with respect to convex order or second degree stochastic dominance) provided the risk-averse agents share the total losses appropriately (whatever the distribution of the losses, their correlation structure and individual degrees of risk aversion). Specifically, all a...

Let Z > 0 be a random time. The total risk of discovering Z in the next time interval (t, t + dt) is never more variable than an exponential of mean one, which is achieved when the information up to time t is σ(Z ∧ t).

We provide 40 m resolution wildfire spread, hazard and exposure metric raster grids for the 0.13 million ha fire-prone Bages County in central Catalonia (northeastern Spain) corresponding to node influence grid (NIG), crown fraction burned (CFB) and fire transmission to residential houses (TR). Fire spread and behavior data (NIG, CFB and fire perimeters) were generated with fire simulation mode...

This study shows that the recent trajectory of a firm’s profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns. The profit trend also predicts the earnings surprise one quarter later, and analyst forecast errors ...