Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case

Abstract. In general, the risk of joint extreme outcomes in financial markets can be expressed as a function of the tail dependence function of a high‐dimensional vector after standardizing marginals. Hence, it is of importance to model and estimate tail dependence functions. Even for moderate dimension, non‐parametrically estimating a tail dependence function is very inefficient and fitting a parametric model to tail dependence functions is not robust. In this paper, we propose a semi‐parametric model for (asymptotically dependent) tail dependence functions via an elliptical copula. Under this model assumption, we propose a novel estimator for the tail dependence function, which proves favourable compared to the empirical tail dependence function estimator, both theoretically and empirically.     

Scheduling professionals in the retail pharmacy chain

To control operating costs, a zero-one integer programming model is developed to assist pharmacy staff scheduling decisions. Variable scheduling needs are met by the assignment of relief (mobile) pharmacists to help or temporarily replace full-time pharmacists. Assignments of relief pharmacists over a two-week planning horizon are determined with consideration given to variations in wage rates and travel costs together with the underlying corporate, contractual and operating constraints. The developed model has been applied with considerable success using data collected from a business district in the US located in northern Louisiana related to a national retail chain pharmacy. Forecasting the number of chain retail outlets in the near future has been also performed and the results obtained argue in favor of adopting the model by the entire chain.     

A systematic analysis of college substance use policies

College substance use policies provide guidelines for student behavior and influence campus culture. Although they are the primary environmental strategy to address campus substance use, policies have not been systematically compared and studied. We constructed a systematic review method to examine the accessibility, comprehensiveness, enforcement procedures, and clarity of college substance use policies. We developed an objective evaluation scheme for each of these 4 dimensions and then applied it to documented substance use policies from a sample of colleges and universities (N = 24). Policies were found to vary considerably but tended to specify compliance with local laws and emphasize student health and well-being. The next stage of campus policy review should examine actual implementation, evaluate potential differentiating factors among institutions, and assess the influence of policy on campus climate and student outcomes.