We develop a mechanism explaining the emergence of heavy tails in the distribution of detected frauds. In our model, a manager manipulates earnings for a private benefit and updates her belief about monitoring quality over time, perceiving the monitor to be increasingly less effective as frauds...

This paper establishes conditions under which a portfolio consisting of the averages of K blocks of lognormal variables converges to a K-dimensional lognormal variable as the number of variables in each block increases. The associated block covariance matrix has to have a special structure where...

Non-life insurance companies most especially, are often faced with the challenge of predicting the number of claims and claim amount to be incurred at any given time. Overcoming such challenges requires examining claim patterns, which assists in premium determination and setting of reserves. The...

In this paper, we compared the Exact Bahaudr Slope (EBS) and the asymptotic relative efficiency of four combination methods for testing asingle hypothesis against a one-sided alternative in the case of Pareto distribution when the number of tests tends to infinity. These methods combinethe...

We consider an extension of the Hull-White short rate model which incorporates smile and skew, effectively through a quadratic dependence of the diffusion on the short rate. We derive an asymptotic representation of the pricing kernel for this new model in semi-analytic form, using this to...