This paper presents a general tail approximation method for evaluating the Valueat-Risk of any norm of random vectors with multivariate regularly varying distributions. The main result is derived using the relation between the intensity measure of multivariate regular variation and tail dependence function of the underlying copula, and in particular extends the tail approximation discussed in E...

We use data from restaurants in Shanghai, China to conduct a new empirical analysis of prices and coupons. Our results show a positive relationship between prices and online coupons. Moreover, the price premium from couponing is higher for restaurants about which consumer values appear to be more uncertain. When consumer uncertainty is high, restaurants that offer coupons have an average price ...

A committee decides by unanimity whether to accept the current alternative, or to continue costly search. Each alternative is described by a vector of distinct attributes, and each committee member can privately assess the quality of one attribute (her “specialty”). Preferences are heterogeneous and interdependent: each specialist values all attributes, but puts a higher weight on her specialty...

This study investigates whether the capital market values the efficiency of firms. After tracing stock returns and efficiency changes of 399 listed insurance firms in 52 countries during the 2002-2008 period, the paper reports a positive and statistically significant relationship between profit efficiency change and market adjusted stock returns. However, there is no robust evidence that cost e...

This experiment investigates contests between groups. Each group has one strong player, with a higher valuation for the prize, and two weak players, with lower valuations. In contests where individual efforts are perfect substitutes, all players expend significantly higher efforts than predicted by theory. In best-shot contests, where group performance depends on the best performer, most of the...

Various multivariate Pareto distributions are known to exhibit the heavy tail behaviors. This paper examines the tail dependence properties of a general class of multivariate Pareto distributions with the Pareto index and some common scale parameters. The multivariate tail dependence describes the amount of dependence in the upper-orthant tail or lower-orthant tail of a multivariate distributio...

Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data are heavy-tailed (which in practice they are), a simple closed-form approximation for the OpVaR can be obtained. They apply this approximation in particular to the Pareto severity model, for which they obtain also a simple time scaling rule for the operational VaR.

Performance degradation assessment of rolling element bearings is vital for the reliable and cost-efficient operation and maintenance of rotating machines, especially for the implementation of condition-based maintenance (CBM). For robust degradation assessment of rolling element bearings, uncertainties such as those induced from usage variations or sensor errors must be taken into account. Thi...

Abstract Welfare economics, in the form of cost-benefit and cost-effectiveness analysis, is at present internally inconsistent and ethically unappealing. We address these issues by proposing two ethical axioms: society prefers Pareto improvements and society values lives lived at a "standard" level of health and income equally. We show that there exists a unique social preference ordering satis...

The properties of avalanche photodiodes and associated electronics required for photon counting in the Geiger and the sub-Geiger modes are reviewed. When the Geiger mode is used, there are significant improvements reported in overall photon detection efficiencies (approaching 70% at 633 nm), and a timing jitter (under 200 ps) is achieved with passive quenching at high overvoltages (20-30 V). Th...