A sequence of real numbers (xn) is Benford if the significands, i.e. the fraction parts in the floating-point representation of (xn), are distributed logarithmically. Similarly, a discrete-time irreducible and aperiodic finite-state Markov chain with probability transition matrix P and limiting...

Recent events in the financial and insurance markets, as well as the looming challenges of a globally changing climate point to the need to re-think the ways in which we measure and manage catastrophic and dependent risks. Management can only be as good as our measurement tools. To that end,...

This paper revisits the pricing of options, in a context of financial stress, when the underlying asset's returns displays skewness and excess kurtosis. For that purpose, we use a Cornish-Fisher transformation for valuing option contracts with an exact formula allowing for heavy-tails.An...

We suggest new efficient integral representations and methods for evaluation of pdfs, cpds and quantiles of stable distributions. For wide regions in the parameter space, absolute errors of order 10 can be achieved in 0.005-0.1 msec (Matlab implementation), even when the index of the...

In a one-step binary lying experiment, subjects privately observe a random device that indicates a low payoff with probability p or a high payoff with probability 1-p. Subjects are paid whatever they report, inducing some subjects to lie in order to receive the high payoff. Currently...

This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...

This paper deals with estimating peaked densities over the interval [0,1] using two-sided power distribution (Kotz, van Dorp, 2004). Such data were encountered in experiments determining certainty equivalents of lotteries (Kontek, 2010). This paper summarizes the basic properties of the...

Systematic improvements in mortality dependence in the survival distributions of insured lives, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving. Systematic longevity risk also undermines the law of large numbers; a law that is relied...

An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...