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Catherine Cazals (Toulouse School of Economics)
TSE, 2022
Antonin Arlandis (La Poste Groupe)
Frank Wolak (Stanford University)
Helmuth Cremer (Toulouse School of Economics)
Martin Harraca (Surrey Business School)
Michal Palinski (University of Warsaw)
Abdelaati Daouia, Irene Gijbels et Gilles Stupfler
vol. 117, n° 539, 2022, p. 1579–1586
Regression extremiles define a least squares analogue of regression quantiles. They are determined by weighted expectations rather than tail probabilities. Of special interest is their intuitive meaning in terms of expected minima and maxima. Their use appears naturally in risk management where, in...
Elisa Luciano et Jean-Charles Rochet
vol. 144, 2022, p. 104543
The risk appetite of insurance companies fluctuates over time in a quasi cyclical fashion. When their capitalization is high (low), companies choose portfolios with a high (small) share of risky assets. We show that this phenomenon has the same source as the underwriting cycle, namely...
Sultan Mehmood, Avner Seror et Daniel L. Chen
n° 22-1393, novembre 2022, révision mars 2023
We estimate the impact of the Ramadan fasting ritual on criminal sentencing decisions for Pakistan and India from half a century of daily data. We use random case assignment and exogenous variation in fasting intensity within Ramadan due to the rotating Islamic calendar and the geographical...
Matthieu Bouvard, Catherine Casamatta et Rui Xiong
n° 22-1386, novembre 2022
We show that by lending to merchants and monitoring them, an e-commerce platform can price-discriminate between merchants with high and low financial constraints: the platform offers credit priced below market rates and designed to select merchants with lower capital or collateral while...
