This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference point for the risk measure is the future (indexed) value of the liabilities. Results are presented for d...

We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for arbitrage are excluded but also deals that are too good, by restricting instantaneous Sharpe ratios. A non-dominated multiple priors approach to m...

The problem of designing tournament contracts under limited liability and alternative performance measures is considered. Under risk neutrality, only the best performing agent receives an extra premium if the liability constraint becomes binding. Under risk aversion, more than one prize is awarded. In both situations, performance measures can be ranked if their likelihood ratio distribution fun...

Existing literature has focused attention on the impact of Basle I and similar capital requirement regulations on developed countries where such regulations were found to be effective in increasing capital ratios and reducing portfolio credit risk of commercial banks. In the present study, we study the impact of such capital requirement regulations on commercial banks in 11 developing countries...

Reward-risk ratio (RR) is a very important stock market definition. In order to capture the situation that the investor does not have complete information on the distribution of the underlying uncertainty, people extend RR model to distributionally robust reward-risk ratio (DRR) model. In this paper, we study the DRR problem where the ambiguity on the distributions is defined through Wassertein...

BACKGROUND The relatively high incidence of cervical cancer in women at older ages is a continuing concern in countries with long-established cervical screening. Controversy remains on when and how to cease screening. Existing population-based studies on the effectiveness of cervical screening at older ages have not considered women's screening history. We performed a nationwide cohort study to...

This paper focuses on analyzing the spatial pattern of residential burglaries in London, Ontario. It discusses the problems associated with using geo-referenced data on residential burglary incidents. The relative risk ratio is applied as a measure of the intensity of residential burglaries. The highest relative risks of residential burglaries are found in the core area of the city and the risk...

in this thesis we predict asymmetric risk premium in bothvalue and growth stock portfolios. there are two competingapproaches to explain value premium: market over-reactionhypothesis based on which agents overstate future returns on growthstock, and rational market risk hypothesis that says value stocks areinherently riskier than growth stocks. rational market riskhypothesis has two different e...

background: the risk of cardiovascular diseases (cvds) increases with age. the objective was to determine whether lifestyle and dietary behaviors and anthropometric measures, which are affected by these behaviors, contribute to the increase of cvd risk factors across age categories of 20–50‑year‑old. methods: in a cross‑sectional design, 437 adults aged 20–50‑year‑old were selected from househo...