The present paper thoroughly explores second-best efficient allocations in an insurance economy with adverse selection. We start with a natural extension of the classical model, assuming less than perfect risk perception. We characterize the constraints on efficient redistribution, and we summarize the incidence of incentive constraints on the economy with the notions of weak and strong adverse...

We study the problem of evaluating the risky position involved in a matrix of random losses with some given probabilistic structure. In the Basel II regulatory setup for operational risk in banking, we analyse how interdependencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.

Predicting risk profiles of individuals in networks (e.g. susceptibility to a particular disease, or likelihood of smoking) is challenging for a variety of reasons. For one, ‘local’ features (such as an individual’s demographic information) may lack sufficient information to make informative predictions; this is especially problematic when predicting ‘risk,’ as the relevant features may be prec...

Matrix metalloproteinases (MMP) contribute to tumor microenvironment and are associated with bladder cancer. A study examining the association between MMP polymorphisms and bladder cancer risk has never been published. We analyzed the association of 11 single nucleotide polymorphisms (SNPs) and one microsatellite polymorphism in MMP genes MMP-1, MMP-2, MMP-3, MMP-8, MMP-9, and MMP-12 with bladd...

The risk assessment matrix is a widely accepted, semi-quantitative tool for assessing risks, and setting priorities in risk management. Although the method can be useful to promote discussion to distinguish high risks from low risks, a published critique described a problem when the frequency and severity of risks are negatively correlated. A theoretical analysis showed that risk predictions co...

We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the ta...