Ambiguity sensitive preferences in Ellsberg frameworks

We study the market implications of ambiguity sensitive preferences using the α-maxmin expected utility (α-MEU) model. In the standard Ellsberg framework, we prove that α-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity aversion impacts equilibrium asset prices, and revisit the laboratory experimental findings in Bossaerts et al. (Rev Financ Stud 23:1325–1359, 2010). Only when there are three or more ambiguous states, α-MEU, maxmin, maxmax and SEU models induce different portfolio choices. We suggest criteria to discriminate among these models in laboratory experiments and show that ambiguity seeking agents may prevent the existence of market equilibrium. Our results indicate that ambiguity matters for portfolio choice and does not wash out in equilibrium

An option pricing formula for the GARCH diffusion model

The first four conditional moments of the integrated variance implied by the GARCH diffusionprocess are derived analytically. Based on these moments and on a power series method an analytical approximation formula to price European options under the GARCH diffusion model is obtained. Monte Carlo simulations show that this approximation formula up to order three is accurate for a large set of reasonable parameters and highlight potential instabilities of the fourth term. Finally, the closed-form approximation formula is used to shed light on the qualitative properties of implied volatility surfaces induced by GARCH diffusion models

Comonotone Pareto optimal allocations for law invariant robust utilities on L-1

We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be integrable

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry.Longevity Risk ; securitization ; risk transfer ; incomplete market ; life insurance ; stochastic mortality ; pensions ; long term interest rate ; regulation ; population dynamics

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

International audienceThis article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry

Cultural Heritage Resilience in the Face of Extreme Weather: Lessons from the UNESCO Site of Alberobello

The study of natural disasters has become increasingly important in recent years as the frequency and impact of such events on society have risen. Italy, which has the largest number of sites on the World Heritage List, offers many examples of interactions between atmospheric phenomena and cultural heritage. The research presented here aimed to investigate the potential of one of these sites, Alberobello in the Apulia region, to respond to the stresses induced by intense weather phenomena that occurred in August 2022. Data from conventional and nonconventional sensors were employed to characterize the event. During previous studies, regions prone to meteorological risk were identified based on long-term model analyses. According to these studies, the marked area resulted in a region sensitive to convective precipitation and thus represents an interesting case study. The weather event investigated caused flooding and damage in the Alberobello surroundings; however, the UNESCO site showed a positive response. We explored the reasons by consulting the literature to outline the site’s peculiarities, especially its architectural features, building materials, and terrain morphology. The results revealed that the mutual relationship between the buildings and the environment and the dual role of cultural heritage are values that need to be protected as a resource for natural hazard mitigation

Thyroid cartilage infiltration in advanced laryngeal cancer: prognostic implications and predictive modelling

Objective: Detection of laryngeal cartilage invasion is of great importance in staging of laryngeal squamous cell carcinoma (LSCC). The role of prognosticators in locally advanced laryngeal cancer are still widely debated. This study aimed to assess the impact of volume of thyroid cartilage infiltration, as well as other histopathologic variables, on patient survival. Materials and methods: We retrospectively analysed 74 patients affected by pT4 LSCC and treated with total laryngectomy between 2005 and 2021 at the Department of Otorhinolaryngology - Head and Neck Surgery of the University of Brescia, Italy. We considered as potential prognosticators histological grade, perineural (PNI) and lympho-vascular invasion (LVI), thyroid cartilage infiltration, and pTN staging. Pre-operative CT or MRI were analysed to quantify the volume of cartilage infiltration using 3D Slicer software. Results: The 1-, 3-, and 5-year disease free survivals (DFS) were 76%, 66%, and 64%, respectively. Using machine learning models, we found that the volume of thyroid cartilage infiltration had high correlation with DFS. Patients with a higher volume (> 670 mm3) of infiltration had a worse prognosis compared to those with a lower volume. Conclusions: Our study confirms the essential role of LVI as prognosticator in advanced LSCC and, more innovatively, highlights the volume of thyroid cartilage infiltration as another promising prognostic factor

Comonotone Pareto optimal allocations for law invariant robust utilities on L 1

We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be integrable