We introduce an accurate, easily implementable, and fast algorithm to compute optimal decisions in discrete-time long-horizon welfaremaximizing problems. The algorithm is useful when interest is only in the decisions up to period T, where T is small. It relies on a flexible parametrization of...

This paper is intended as a guide to statistical inference for loss distributions. There are three basic approaches to deriving the loss distribution in an insurance risk model: empirical, analytical, and moment based. The empirical method is based on a sufficiently smooth and accurate estimate...

There is a trend among institutional investors to split their assets between index-managers and specialists. The specialist mandates are typically delegated to specialist asset managers, who are assumed to generate "alpha", take on large risks and whose remuneration is performance based. In this...