VALUE-AT-RISK IN RANKING CROP INSURANCE ALTERNATIVAES Abstract This study examines the use of conditional value-at-risk (CVaR) as a measure for evaluating risky alternatives. CVaR has been shown to have a number of advantages compared to the more traditionally applied value-at-risk in decision settings that involve choices among truncated revenue distributions. A conceptual presentation illustr...

Background and Aim: Previous studies revealed improved enamel caries resistance after laser irradiation. Present in vitro study evaluated the effect of Er,Cr:YSGG laser with or without topical fluoride application on microhardness of primary enamel after artificial demineralization. Materials and Methods: In this in vitro study, 35 primary molars with sound surfaces were bisected and randomly ...

Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. VaR calculates maximum expected losses over a given time period at a given tolerance level. Conditional Value at Risk (CVaR) measures extreme risk. It calculates the risk beyond VaR. Relative industry risk measurement is...

We propose a new framework for modeling systematic risk in LossGiven-Default (LGD) in the context of credit portfolio losses. The class of models is very flexible and accommodates well skewness and heteroscedastic errors. The quantities in the models have simple economic interpretation. Inference of models in this framework can be unified. Moreover, it allows efficient numerical procedures, suc...

A new approach for cost-sensitive classification is proposed. We extend the framework of cost-sensitive learning to mitigate risks of huge costs occurring with low probabilities, and propose an algorithm that achieves this goal. Instead of minimizing the expected cost commonly used in cost-sensitive learning, our algorithm minimizes expected shortfall, a.k.a. conditional value-at-risk, known as...

Abstract: This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extendedWang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We characterize layer-reinsurance as an optimal reinsurance contract. Moreover, we characterize lay...

This paper offers a simple but powerful model of wishful thinking, cognitive dissonance, and related biases. Choices maximize subjective expected utility, but beliefs depend on the decision maker’s interests as well as on relevant information. Simplifying assumptions yield a representation in which the payoff in an event affects beliefs as if it were part of the evidence about its likelihood. A...

In this paper we use data from the New Immigrant Survey to investigate the impact of immigrant women's own labor supply prior to migrating and female labor supply in their source country on their labor supply and wages in the United States to provide evidence on the roles of culture and social capital. We find, as expected, that women who migrate from countries with relatively high levels of fe...

Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable could be the rate of return from a portfolio of financial instruments. General measures of deviation go beyond standard deviation in satisfying axioms that do not demand symmetry between ups and downs. The optimality con...

This paper established the ARMA-GJR-AL model of dynamic risk VaR and CVaR measurement. Considering from aspects of the correlation and volatility and residual distribution characteristics, studying the dynamic risk measures of VaR and CVaR based on ARMA-GJR-AL model. Through empirical research, Risk prediction and accuracy of inspection are given of the Shanghai stock market and the New York st...