probate-error risk between false-positive outcomes and false-negative outcomes. When the court validates an inauthentic will … to identify the problem with the conventional law of will-execution, which is that it heavily allocates risk in favor of … objective of will-execution reform, which is to reallocate risk more evenly between false-positive outcomes and false …

We give a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities …-doll risk model construction. This appears to prove a powerful approach for constructing out-of-sample stable short …-lookback risk models. Thus, for intraday mean-reversion alphas based on overnight returns, Sharpe ratio optimization using our …

The Firm-Value Risk Model combines the technology of actuarial optimal dividends models with insights regarding … financial frictions from financial economics, especially as they apply to risk transfer in (re)insurance firms. This paper … from the Firm-Value Risk Model, specifically: (1) the concave relationship between firm value and financial slack (2) the …

We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or … altogether eliminates the risk factors for which the factor covariance matrix needs to be computed. This is achieved via a nested …) industry classification based risk factors (e.g., "sector -> industry -> sub-industry"), and also in the presence of (non …

traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

In this paper, we study two classes of optimal reinsurance models by minimizing the total risk exposure of an insurer … under the criteria of value at risk (VaR) and conditional value at risk (CVaR). We assume that the reinsurance premium is …-continuous retained loss functions, the truncated stop-loss reinsurance is shown to be optimal. In contrast, under CVaR risk measure, the …

Existence of underestimation bias on risk for optimized portfolio is well known to quantitative fund managers who … construct their portfolio from optimizer (mathematical software) by using multi factor risk model. There are some reasons for … underestimation of portfolio risk. One of the reasons of underestimation lays in sampling bias of covariance matrix of factor returns …