Volume 6; Issue 2

Risks

Volume 6; Issue 2
2

Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models

Harnau, Jonas
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 528 KB
english, 2018
3

Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model

Shi, Yanlin, Yang, Yang
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 1.61 MB
english, 2018
4

Precise Large Deviations for Subexponential Distributions in a Multi Risk Model

Konstantinides, Dimitrios
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 401 KB
english, 2018
5

Analyzing the Risks Embedded in Option Prices with rndfittool

Barletta, Andrea, Santucci de Magistris, Paolo
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 1.28 MB
english, 2018
6

An Individual Claims History Simulation Machine

Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 851 KB
english, 2018
7

Subjective Expected Utility with State-Dependent but Action/Observation-Independent Preferences

Drèze, Jacques
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 397 KB
english, 2018
8

An Optimal Investment Strategy for Insurers in Incomplete Markets

Badaoui, Mohamed, Fernández, Begoña, Swishchuk, Anatoliy
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 1008 KB
english, 2018
10

Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes

Pérez, José-Luis, Yamazaki, Kazutoshi
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 584 KB
english, 2018
12

On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics

Avram, Florin, Loke, Sooie-Hoe
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 969 KB
english, 2018
15

Credit Risk Analysis Using Machine and Deep Learning Models

Addo, Peter, Guegan, Dominique, Hassani, Bertrand
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 620 KB
english, 2018
17

Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations

Mühlbacher, Andreas, Guhr, Thomas
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 2.77 MB
english, 2018
19

Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

Bee, Marco, Trapin, Luca
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 390 KB
english, 2018
20

Volatility Is Log-Normal—But Not for the Reason You Think

Tegnér, Martin, Poulsen, Rolf
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 1.13 MB
english, 2018
21

The Italian Pension Gap: A Stochastic Optimal Control Approach

Milazzo, Alessandro, Vigna, Elena
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 2.45 MB
english, 2018
22

Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

Wei, Wei
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 268 KB
english, 2018
25

A General Framework for Portfolio Theory—Part I: Theory and Various Models

Maier-Paape, Stanislaus, Zhu, Qiji
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 500 KB
english, 2018
26

Diversification and Systemic Risk: A Financial Network Perspective

Frey, Rüdiger, Hledik, Juraj
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 590 KB
english, 2018
27

Using Cutting-Edge Tree-Based Stochastic Models to Predict Credit Risk

Halteh, Khaled, Kumar, Kuldeep, Gepp, Adrian
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 604 KB
english, 2018
28

Stochastic Modeling of Wind Derivatives in Energy Markets

Benth, Fred, Di Persio, Luca, Lavagnini, Silvia
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 543 KB
english, 2018
29

On Two Mixture-Based Clustering Approaches Used in Modeling an Insurance Portfolio

Miljkovic, Tatjana, Fernández, Daniel
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 373 KB
english, 2018
30

A Credit-Risk Valuation under the Variance-Gamma Asset Return

Ivanov, Roman
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 475 KB
english, 2018
31

On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment

Li, Shuanming, Lu, Yi
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 440 KB
english, 2018
32

Risk Aversion, Loss Aversion, and the Demand for Insurance

Eeckhoudt, Louis, Fiori, Anna, Rosazza Gianin, Emanuela
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 930 KB
english, 2018
33

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles

Chen, James
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 2.30 MB
english, 2018
34

The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula

Clemente, Gian
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 878 KB
english, 2018
35

An Intersection–Union Test for the Sharpe Ratio

Frahm, Gabriel
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 1.17 MB
english, 2018
36

Life Insurance and Annuity Demand under Hyperbolic Discounting

Tang, Siqi, Purcal, Sachi, Zhang, Jinhui
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 1.77 MB
english, 2018