Report NEP-RMG-2026-06-22

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Yichi Zhang & Ke Zhu & Zhoufan Zhu, 2026, "ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number 2606.04576, Jun.
• Suresh, Karthik Ramakrishna, 2026, "The G-Spread: A Business-Economics-Based Measure of Permanent Capital Loss Risk," MPRA Paper, University Library of Munich, Germany, number 129370, Jun, revised 02 Jun 2026.
• Christopher Blier-Wong & Jean-Gabriel Lauzier, 2026, "Designing entry-monotone risk-sharing pools," Papers, arXiv.org, number 2606.00972, May.
• Costa-Font, Joan & Courbage, Christophe & Raut, Nilesh, 2026, "Insurance and health across the life course," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 138650, May.
• Mustafin, Damir, 2025, "Управление рисками в реальном секторе с использованием цифровых решений: прогнозирование, аналитика и контроль (Risk Management in the Real Sector Using Digital Solutions: Forecasting, Analytics, and Control)," SocArXiv, Center for Open Science, number uy38v_v1, Mar, DOI: 10.31219/osf.io/uy38v_v1.
• Mario V. Wuthrich, 2026, "The Balance Property: The Constrained Case, with a View on Risk Sharing," Papers, arXiv.org, number 2606.07276, Jun.
• Paul H.S. Kim & Anran Li, 2026, "Insurer Risk and Public Risk-Sharing: Quantifying the Value of Reinsurance," NBER Working Papers, National Bureau of Economic Research, Inc, number 35282, May.
• Daniil Peysakhovich & Rafa{l} Sieradzki, 2026, "How to spot outliers: an Ensemble Anomaly Detection Framework," Papers, arXiv.org, number 2606.20079, Jun.
• Xinyue Fang & Robert 'Slepaczuk, 2026, "Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data," Papers, arXiv.org, number 2606.09478, Jun.
• Appelbaum, Elie, 2026, "Endogenous Risk Attitudes in Family Portfolio Choice," MPRA Paper, University Library of Munich, Germany, number 129118, Apr.
• Mintod^e Nicod`eme Atchad'e & Marcus C. Christiansen & Friedrich Hubalek & Gero Junike, 2026, "How the interpolation of life tables affects the decomposition of life insurance surplus," Papers, arXiv.org, number 2606.04715, Jun.
• Symeon Vaidanis & Marios Kountouris, 2026, "Probabilistic Risk Sensitivity and Loss Aversion in Cumulative Prospect Theory," Papers, arXiv.org, number 2606.06652, Jun.
• Wagner, Leandro, 2026, "The Endogeneity of Liquidity Risk in Leveraged Fixed-Income Systems Book," MPRA Paper, University Library of Munich, Germany, number 129114, Mar.
• Nicholas-James Clavet & Pierre-Carl Michaud & Julien Navaux, 2026, "Optimal Long-Term Care Provision and Insurance with Heterogeneous Preferences and Risks," Cahiers de recherche / Working Papers, Chaire de recherche Jacques-Parizeau en politiques économiques / Jacques-Parizeau Research Chair in Economic Policy, number 07.
• Palligkinis, Spyros & Jo, Jae Hyun & Demartis, Stefano, 2026, "Effectiveness of supervisory activities in mitigating banks’ commercial real estate risk," Working Paper Series, European Central Bank, number 3247, Jun.
• Andrea Molent, 2026, "Valuation of GLWB-LTC Annuities with L\'evy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions," Papers, arXiv.org, number 2605.30567, May, revised Jun 2026.
• Yifan Hong & Hongmiao Fan & Chen Wang, 2026, "Decision-Making under Combinatorial Risk," Papers, arXiv.org, number 2606.10092, Jun.
• Akash Deep & Nicholas Appiah & Svetlozar T. Rachev, 2026, "Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting," Papers, arXiv.org, number 2605.24285, May.
• Ryan McCrickerd, 2026, "Fast-excursion limit of the Heston model," Papers, arXiv.org, number 2606.06737, Jun.