Following Fama-French (1993), most researchers try to find new risk factors to complement the Fama-French three factors model. Most of them implement by ranking on the desirable risk factors or regression on the risk factors, and then check the beta or risk premium is significant from zero or...

With the advent of the "big" data era, large-sample properties of a statistical learning method are becoming more and more important in an actuary's daily work. For a fixed sample size, regardless of how large it is, the variance of an estimator can be larger than a pre-assigned level to an...