When constructing parametric models to predict the cost of future claims, several important details have to be taken into account: (i) models should be designed to accommodate deductibles, policy limits, and coinsurance factors, (ii) parameters should be estimated robustly to control the...

Robust Estimation of Loss Models for Lognormal Insurance Payment Severity Data Chudamani Poudyal1Department of Statistics and Data Science University of Central Florida. The primary objective of this scholarly work is to develop two estimation procedures –maximum likelihood estimator(MLE) and...

With some regularity conditions maximum likelihood estimators (MLEs) al-ways produce asymptotically optimal (in the sense of consistency, efficiency, sufficiency,and unbiasedness) estimators. But in general, the MLEs lead to non-robust statisticalinference, for example, pricing models and risk...

Bilateral Gamma processes generalize the Variance Gamma process and allow to capture more precisely the differences between upward and downward moves of financial returns, notably in terms of jump speed, frequency, and size. Like in most other pure jump models, option pricing under Bilateral...

We consider games where an analyst is not confident about players' true information structure for payoff-relevant parameters. We define a robust prediction by a set of action profiles such that, given any information structure among the players, there is a Bayesian Nash equilibrium given that...

Surplus-lag testing has been proposed as a means of undertaking persistence-robust causality analysis irrespective of the integrated nature of economic and/or financial series under examination. The present paper examines whether this suggested robustness holds when considering series...

In this paper, we consider robust estimation of claim severity models in insurance, when data are affected by truncation (due to deductibles), censoring (due to policy limits), and scaling (due to coinsurance). In particular, robust estimators based on the methods of trimmed moments...

This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism arise endogenously in our setting as a consequence of agents’ concern for model misspecification. We generalize the robust control approach of Hansen and Sargent (2001) by...

We consider an assortment optimization problem where the retailer needs to choose a set of products to offer to customers from the range of available products. By choosing the assortment, which will affect customers' purchase choice, the retailer aims to obtain a high expected revenue. We study...