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Content
July 2021, Volume 9, Issue 7
- 1-21 The Combined Stop-Loss and Quota-Share Reinsurance: Conditional Tail Expectation-Based Optimization from the Joint Perspective of Insurer and Reinsurer
by Khreshna Syuhada & Arief Hakim & Suci Sari - 1-21 Improving Explainability of Major Risk Factors in Artificial Neural Networks for Auto Insurance Rate Regulation
by Shengkun Xie - 1-21 Reputational Risk and Sustainability: A Bibliometric Analysis of Relevant Literature
by Haitham Nobanee & Maryam Alhajjar & Ghada Abushairah & Safaa Al Harbi - 1-24 Machine Learning Applied to Banking Supervision a Literature Review
by Pedro Guerra & Mauro Castelli - 1-29 Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets
by Ewa Dziwok & Marta A. Karaś - 1-46 Reliability of Seismic Performance Assessments for Individual Buildings and Portfolios
by Charles C. Thiel & Theodore C. Zsutty & Yajie J. Lee
June 2021, Volume 9, Issue 6
- 1-5 Kalman Filter Learning Algorithms and State Space Representations for Stochastic Claims Reserving
by Nataliya Chukhrova & Arne Johannssen - 1-12 The Empirical Analysis of the Core Competencies of the Company’s Resource Management Risk. Preliminary Study
by Grzegorz Drozdowski & Joanna Rogozińska-Mitrut & Jacek Stasiak - 1-13 Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models
by Anatoliy Swishchuk - 1-14 A Digital Individual Benefit Statement to Mitigate the Risk of Poverty in Retirement: The Case of Switzerland
by Catherine Equey Balzli - 1-14 The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types
by Jatin Malhotra & Angelo Corelli - 1-15 The Impact of the Crisis Triggered by the COVID-19 Pandemic and the Actions of Regulators on the Consumer Finance Market in Poland and Other European Union Countries
by Łukasz Gębski - 1-15 A New Model Averaging Approach in Predicting Credit Risk Default
by Paritosh Navinchandra Jha & Marco Cucculelli - 1-15 A Statistical Model of Fraud Risk in Financial Statements. Case for Romania Companies
by Andrada-Ioana Sabău (Popa) & Codruța Mare & Ioana Lavinia Safta - 1-15 Sustainability Reporting in Cooperatives
by Gamze Yakar Pritchard & Kıymet Tunca Çalıyurt - 1-17 Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD
by Morne Joubert & Tanja Verster & Helgard Raubenheimer & Willem D. Schutte - 1-17 Economic and Non-Economic Variables Affecting Fraud in European Countries
by Bashir Ahmad & Maria Ciupac-Ulici & Daniela-Georgeta Beju - 1-18 A Study on Balanced Scorecard and Its Impact on Sustainable Development of Renewable Energy Organizations; A Mediating Role of Political and Regulatory Institutions
by Muhammad Rafiq & Saif Maqbool & José Moleiro Martins & Mário Nuno Mata & Rui Miguel Dantas & Shumaila Naz & Anabela Batista Correia - 1-19 Development and Validation of a Model for Assessing Potential Strategic Innovation Risk in Banks Based on Data Mining-Monte-Carlo in the “Open Innovation” System
by Viktoriya Valeryevna Manuylenko & Aminat Islamovna Borlakova & Alexander Vladimirovich Milenkov & Olga Borisovna Bigday & Elena Andreevna Drannikova & Tatiana Sergeevna Lisitskaya - 1-19 Efficiency of Money Laundering Countermeasures: Case Studies from European Union Member States
by Corina-Narcisa (Bodescu) Cotoc & Maria Nițu & Mircea Constantin Șcheau & Adeline-Cristina Cozma - 1-21 Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time
by Sharifah Farah Syed Yusoff Alhabshi & Zamira Hasanah Zamzuri & Siti Norafidah Mohd Ramli - 1-22 Privacy Intrusiveness in Financial-Banking Fraud Detection
by Larisa Găbudeanu & Iulia Brici & Codruța Mare & Ioan Cosmin Mihai & Mircea Constantin Șcheau - 1-23 Credit Risk Management of Property Investments through Multi-Criteria Indicators
by Marco Locurcio & Francesco Tajani & Pierluigi Morano & Debora Anelli & Benedetto Manganelli - 1-25 A Finite Mixture Modelling Perspective for Combining Experts’ Opinions with an Application to Quantile-Based Risk Measures
by Despoina Makariou & Pauline Barrieu & George Tzougas - 1-30 On the Identification, Evaluation and Treatment of Risks in Smart Homes: A Systematic Literature Review
by Raphael Iten & Joël Wagner & Angela Zeier Röschmann - 1-36 Insolvency Risk and Value Maximization: A Convergence between Financial Management and Risk Management
by Alessandro Gennaro
May 2021, Volume 9, Issue 5
- 1-7 Implicit Interpretation of Indonesian Export Bans on LME Nickel Prices: Evidence from the Announcement Effect
by Byungkwon Lim & Hyeon Sook Kim & Jaehwan Park - 1-8 Educational Leadership in Times of Crisis
by Grzegorz Mazurkiewicz - 1-8 The Financial Situation of Families and the Quality of Life and Coping with Stress of Children with ASD during the SARS-CoV-2 Pandemic
by Anna Gagat-Matula - 1-10 Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach
by Krzysztof Burnecki & Marek A. Teuerle & Aleksandra Wilkowska - 1-12 Financial Distress and Information Sharing: Evidences from the Italian Credit Register
by Lucia Gibilaro & Gianluca Mattarocci - 1-14 Risk Management in the Management Control System in Polish Local Government Units—Assumptions and Practice
by Katarzyna Mormul - 1-15 Liability for Incorrect Client Personalization in the Distribution of Consumer Insurance
by Piotr Tereszkiewicz & Katarzyna Południak-Gierz - 1-16 Revisiting Investability of Heritage Properties through Indexation and Portfolio Frontier Analysis
by Chin Tiong Cheng & Gabriel Hoh Teck Ling & Yee-Siang Gan & Wai Fang Wong & Kong Seng Lai - 1-17 Risk Approach—Risk Hierarchy or Construction Investment Risks in the Light of Interim Empiric Primary Research Conclusions
by Tibor Pál Szemere & Mónika Garai-Fodor & Ágnes Csiszárik-Kocsir - 1-19 Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries
by Victor Shevchuk & Roman Kopych - 1-19 The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach
by Maren Diane Schmeck & Stefan Schwerin - 1-20 Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach
by Muhammad Sheraz & Imran Nasir - 1-20 The Impact of the Development of Society on Economic and Financial Crime. Case Study for European Union Member States
by Monica Violeta Achim & Viorela Ligia Văidean & Sorin Nicolae Borlea & Decebal Remus Florescu - 1-21 The Sovereign-Bank Nexus in the Face of the COVID-19 Pandemic Outbreak—Evidence from EU Member States
by Iustina Alina Boitan & Kamilla Marchewka-Bartkowiak - 1-23 Risk Management and Financial Stability in the Polish Public Hospitals: The Moderating Effect of the Stakeholders’ Engagement in the Decision-Making
by Aldona Frączkiewicz-Wronka & Tomasz Ingram & Karolina Szymaniec-Mlicka & Piotr Tworek - 1-27 Impact of Fintech on Bank Risk-Taking: Evidence from China
by Liurui Deng & Yongbin Lv & Ye Liu & Yiwen Zhao - 1-28 Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters
by Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer - 1-31 Identification of Going-Concern Risks in CSR and Integrated Reports of Polish Companies from the Construction and Property Development Sector
by Elżbieta Izabela Szczepankiewicz - 1-35 Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions
by Giuseppe Orlando & Michele Bufalo
April 2021, Volume 9, Issue 5
- 1-14 Dilemmas in Managing the COVID-19 Crisis
by Roman Dorczak & Marzanna Farnicka & Inetta Nowosad - 1-17 Is Economic Uncertainty a Risk Factor in Bank Loan Pricing Decisions? International Evidence
by Badar Nadeem Ashraf
April 2021, Volume 9, Issue 4
- 1-2 Economic and Financial Crime: Corruption, Shadow Economy, and Money Laundering: Book Review. Written by Monica Violeta Achim and Sorin Nicolae Borlea. Springer Nature: Cham, Switzerland, 2021. ISBN 978-3-030-51780-9
by Friedrich Schneider - 1-11 The Use of Discriminant Analysis to Assess the Risk of Bankruptcy of Enterprises in Crisis Conditions Using the Example of the Tourism Sector in Poland
by Joanna Wieprow & Agnieszka Gawlik - 1-12 Bayesian Mixture Modelling for Mortality Projection
by Jackie Li & Atsuyuki Kogure - 1-13 Impact of Income on Life Expectancy: A Challenge for the Pension Policy
by Damian Walczak & Jacek Wantoch-Rekowski & Robert Marczak - 1-13 Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak
by Ahmet Faruk Aysan & Asad Ul Islam Khan & Humeyra Topuz - 1-14 Examination of Interest-Growth Differentials and the Risk of Sovereign Insolvency
by Jussi Lindgren - 1-14 Improving on Defaults: Helping Pension Participants Manage Financial Market Risk in Target Date Funds
by John A. Turner & Bruce W. Klein - 1-15 The Importance of Betting Early
by Alessandro Innocenti & Tommaso Nannicini & Roberto Ricciuti - 1-16 Inventory Management in SMEs Operating in Polish Group Purchasing Organizations during the COVID-19 Pandemic
by Grzegorz Zimon & Vitalina Babenko & Beata Sadowska & Katarzyna Chudy-Laskowska & Blanka Gosik - 1-16 An Optimal Tail Selection in Risk Measurement
by Małgorzata Just & Krzysztof Echaust - 1-16 Cumulative Prospect Theory Version with Fuzzy Values of Outcome Estimates
by Oleg Uzhga-Rebrov & Peter Grabusts - 1-17 Forecasting in Small Business Management
by Jerzy Witold Wiśniewski - 1-18 The Role of Information in Assessing the Risk of Conducting Bankruptcy Proceedings
by Michał Baran & Kinga Bauer - 1-23 Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk
by Catalina Bolancé & Montserrat Guillen - 1-24 Matrix-Tilted Archimedean Copulas
by Marius Hofert & Johanna F. Ziegel - 1-25 Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model
by Julia Eisenberg & Lukas Fabrykowski & Maren Diane Schmeck - 1-32 The Outlines of a Possible Pension System Funded with Human Capital
by József Banyár
March 2021, Volume 9, Issue 4
- 1-19 Synthetic Dataset Generation of Driver Telematics
by Banghee So & Jean-Philippe Boucher & Emiliano A. Valdez - 1-19 Household’s Overindebtedness during the COVID-19 Crisis: The Role of Debt and Financial Literacy
by Łukasz Kurowski - 1-21 Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility
by Yumo Zhang - 1-28 Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits
by Cláudia Simões & Luís Oliveira & Jorge M. Bravo - 1-35 Risk of Increased Acceptance for Organizational Nepotism and Cronyism during the COVID-19 Pandemic
by Grzegorz Ignatowski & Łukasz Sułkowski & Bartłomiej Stopczyński
March 2021, Volume 9, Issue 3
- 1-10 Modeling Best Practice Life Expectancy Using Gumbel Autoregressive Models
by Anthony Medford - 1-14 Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland
by Błażej Prusak & Marcin Potrykus - 1-15 Risk Assessment for Personalized Health Insurance Based on Real-World Data
by Aristodemos Pnevmatikakis & Stathis Kanavos & George Matikas & Konstantina Kostopoulou & Alfredo Cesario & Sofoklis Kyriazakos - 1-15 Recruitment of Employees—Assumptions of the Risk Model
by Halina Sobocka-Szczapa - 1-16 Regularization of Autoencoders for Bank Client Profiling Based on Financial Transactions
by Andrey Filchenkov & Natalia Khanzhina & Arina Tsai & Ivan Smetannikov - 1-19 Applications of Clustering with Mixed Type Data in Life Insurance
by Shuang Yin & Guojun Gan & Emiliano A. Valdez & Jeyaraj Vadiveloo - 1-20 A Machine Learning Approach for Micro-Credit Scoring
by Apostolos Ampountolas & Titus Nyarko Nde & Paresh Date & Corina Constantinescu - 1-22 Life Expectancy Heterogeneity and Pension Fairness: An Italian North-South Divide
by Fabrizio Culotta - 1-28 Financial Transactions Using FINTECH during the Covid-19 Crisis in Bulgaria
by Ivanka Vasenska & Preslav Dimitrov & Blagovesta Koyundzhiyska-Davidkova & Vladislav Krastev & Pavol Durana & Ioulia Poulaki - 1-28 Assessing the Performance of Random Forests for Modeling Claim Severity in Collision Car Insurance
by Yves Staudt & Joël Wagner - 1-32 Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model
by Simon Schnürch & Torsten Kleinow & Ralf Korn - 1-33 Alleviating Class Imbalance in Actuarial Applications Using Generative Adversarial Networks
by Kwanda Sydwell Ngwenduna & Rendani Mbuvha - 1-40 Quantifying the Role of Occurrence Losses in Catastrophe Excess of Loss Reinsurance Pricing
by Shree Khare & Keven Roy
January 2021, Volume 9, Issue 2
- 1-5 Acknowledgment to Reviewers of Risks in 2020
by Risks Editorial Office - 1-19 What Best Predicts Corporate Bank Loan Defaults? An Analysis of Three Different Variable Domains
by Keijo Kohv & Oliver Lukason
February 2021, Volume 9, Issue 2
- 1-13 Tail Risk and Extreme Events: Connections between Oil and Clean Energy
by Elisa Di Febo & Matteo Foglia & Eliana Angelini - 1-15 Developing a Risk Model for Assessment and Control of the Spread of COVID-19
by Usama H. Issa & Ashraf Balabel & Mohammed Abdelhakeem & Medhat M. A. Osman - 1-16 Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis
by Luca Di Persio & Matteo Garbelli & Kai Wallbaum - 1-16 Cardless Banking System in Malaysia: An Extended TAM
by Qaisar Ali & Shazia Parveen & Hakimah Yaacob & Zaki Zaini - 1-17 Calibration of Transition Intensities for a Multistate Model: Application to Long-Term Care
by Manuel L. Esquível & Gracinda R. Guerreiro & Matilde C. Oliveira & Pedro Corte Real - 1-19 Estimating the BIS Capital Adequacy Ratio for Korean Banks Using Machine Learning: Predicting by Variable Selection Using Random Forest Algorithms
by Jaewon Park & Minsoo Shin & Wookjae Heo - 1-19 Mortality Forecasting with an Age-Coherent Sparse VAR Model
by Hong Li & Yanlin Shi - 1-19 Myopic Savings Behaviour of Future Polish Pensioners
by Sonia Buchholtz & Jan Gąska & Marek Góra - 1-19 A Two-Population Mortality Model to Assess Longevity Basis Risk
by Selin Özen & Şule Şahin - 1-20 Efficiency Testing of Prediction Markets: Martingale Approach, Likelihood Ratio and Bayes Factor Analysis
by Mark Richard & Jan Vecer - 1-20 Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economies
by Syeda Hina Zaidi & Ramona Rupeika-Apoga - 1-22 Sensitivity of Performance Indexes to Disaster Risk
by Jiro Hodoshima & Toshiyuki Yamawake - 1-23 Machine Learning Approaches for Auto Insurance Big Data
by Mohamed Hanafy & Ruixing Ming - 1-25 Smart Beta Allocation and Macroeconomic Variables: The Impact of COVID-19
by Matteo Foglia & Maria Cristina Recchioni & Gloria Polinesi - 1-27 Triggers and Obstacles to the Development of the FinTech Sector in Poland
by Agata Kliber & Barbara Będowska-Sójka & Aleksandra Rutkowska & Katarzyna Świerczyńska
January 2021, Volume 9, Issue 1
- 1-9 Are Sports Bettors Biased toward Longshots, Favorites, or Both? A Literature Review
by Philip W. S. Newall & Dominic Cortis - 1-10 A Method for Assessing Threats to the Economic Security of a Region: A Case Study of Public Procurement in Russia
by Valentina Kravchenko & Tatiana Kudryavtseva & Yuriy Kuporov - 1-15 Determinants of Demand for Private Long-Term Care Insurance (Empirical Evidence from Poland)
by Łukasz Jurek & Wioletta Wolańska - 1-16 Supply Chain Risk Management: Literature Review
by Amulya Gurtu & Jestin Johny - 1-17 An Expectation-Maximization Algorithm for the Exponential-Generalized Inverse Gaussian Regression Model with Varying Dispersion and Shape for Modelling the Aggregate Claim Amount
by George Tzougas & Himchan Jeong - 1-17 The Assignment Problem in Human Resource Project Management under Uncertainty
by Helena Gaspars-Wieloch - 1-18 A Study on Link Functions for Modelling and Forecasting Old-Age Survival Probabilities of Australia and New Zealand
by Jacie Jia Liu - 1-18 Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model
by Leonie Violetta Brinker - 1-18 On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk
by Anna Rita Bacinello & An Chen & Thorsten Sehner & Pietro Millossovich - 1-20 Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
by Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl - 1-22 A Bayesian Approach to Measurement of Backtest Overfitting
by Jiří Witzany - 1-22 The Interaction between Banking Sector and Financial Technology Companies: Qualitative Assessment—A Case of Lithuania
by Ruihui Pu & Deimante Teresiene & Ina Pieczulis & Jie Kong & Xiao-Guang Yue - 1-23 Bayesian Predictive Analysis of Natural Disaster Losses
by Min Deng & Mostafa Aminzadeh & Min Ji - 1-23 Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment
by Dhiti Osatakul & Xueyuan Wu - 1-26 Modelling Volatile Time Series with V-Transforms and Copulas
by Alexander J. McNeil - 1-28 Retrospective Reserves and Bonus with Policyholder Behavior
by Debbie Kusch Falden & Anna Kamille Nyegaard - 1-28 Optimal Investment in Cyber-Security under Cyber Insurance for a Multi-Branch Firm
by Alessandro Mazzoccoli & Maurizio Naldi - 1-38 The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model
by Annalena Mickel & Andreas Neuenkirch
December 2020, Volume 9, Issue 1
- 1-14 Mining Actuarial Risk Predictors in Accident Descriptions Using Recurrent Neural Networks
by Jean-Thomas Baillargeon & Luc Lamontagne & Etienne Marceau - 1-15 Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis
by Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat - 1-17 Enhancing Pension Adequacy While Reducing the Fiscal Budget and Creating Essential Capital for Domestic Investments and Growth: Analysing the Risks and Outcomes in the Case of Greece
by Georgios Symeonidis & Platon Tinios & Panos Xenos - 1-18 Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect
by Karim Barigou & Stéphane Loisel & Yahia Salhi - 1-18 Global Stock Selection with Hidden Markov Model
by Nguyet Nguyen & Dung Nguyen - 1-19 Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System
by Łukasz Dopierała & Magdalena Mosionek-Schweda - 1-21 Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate
by Zuzana Rowland & George Lazaroiu & Ivana Podhorská - 1-26 Machine Learning in P&C Insurance: A Review for Pricing and Reserving
by Christopher Blier-Wong & Hélène Cossette & Luc Lamontagne & Etienne Marceau - 1-28 An Actuarial Approach for Modeling Pandemic Risk
by Donatien Hainaut
October 2020, Volume 8, Issue 4
- 1-14 Determining Economic Security of a Business Based on Valuation of Intangible Assets according to the International Valuation Standards (IVS)
by Dmitrii Rodionov & Olesya Perepechko & Olga Nadezhina - 1-17 The Importance of Economic Variables on London Real Estate Market: A Random Forest Approach
by Susanna Levantesi & Gabriella Piscopo - 1-18 The Linear Link: Deriving Age-Specific Death Rates from Life Expectancy
by Marius D. Pascariu & Ugofilippo Basellini & José Manuel Aburto & Vladimir Canudas-Romo - 1-19 New Families of Bivariate Copulas via Unit Lomax Distortion
by Fadal Abdullah-A Aldhufairi & Ranadeera G.M. Samanthi & Jungsywan H. Sepanski - 1-20 Exploiting Distributional Temporal Difference Learning to Deal with Tail Risk
by Peter Bossaerts & Shijie Huang & Nitin Yadav - 1-21 Determinants and Predictors of SMEs’ Financial Failure: A Logistic Regression Approach
by Youssef Zizi & Mohamed Oudgou & Abdeslam El Moudden - 1-22 Pricing with Variance Gamma Information
by Lane P. Hughston & Leandro Sánchez-Betancourt - 1-22 Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints
by Sascha Desmettre & Christian Laudagé & Jörn Sass - 1-23 Application of a Vine Copula for Multi-Line Insurance Reserving
by Himchan Jeong & Dipak Dey - 1-26 Grouped Normal Variance Mixtures
by Erik Hintz & Marius Hofert & Christiane Lemieux - 1-28 Comparing Two Different Option Pricing Methods
by Alessandro Bondi & Dragana Radojičić & Thorsten Rheinländer - 1-29 Corporate Governance and Cost of Capital: Evidence from Emerging Market
by Muhammad Yar Khan & Anam Javeed & Ly Kim Cuong & Ha Pham - 1-40 Retirement Ages by Socio-Economic Class
by Séverine Arnold & Anca Jijiie
November 2020, Volume 8, Issue 4
- 1-15 Modeling County-Level Spatio-Temporal Mortality Rates Using Dynamic Linear Models
by Zoe Gibbs & Chris Groendyke & Brian Hartman & Robert Richardson - 1-15 Observable Cyber Risk on Cournot Oligopoly Data Storage Markets
by Ulrik Franke & Amanda Hoxell - 1-17 Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks
by Maria Elvira Mancino & Simona Sanfelici - 1-20 A Bayesian Internal Model for Reserve Risk: An Extension of the Correlated Chain Ladder
by Carnevale Giulio Ercole & Clemente Gian Paolo - 1-21 Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks
by Anne-Sophie Krah & Zoran Nikolić & Ralf Korn - 1-21 Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions
by Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri - 1-21 Fiscal, Investment and Export Multipliers and the COVID-19 Pandemic Slowdowns Uncertainty Factor in the First Half of 2020
by Arkadiusz J. Derkacz - 1-23 Managing Meteorological Risk through Expected Shortfall
by Silvana Stefani & Gleda Kutrolli & Enrico Moretto & Sergei Kulakov - 1-23 Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework
by Fadoua Zeddouk & Pierre Devolder - 1-23 Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios
by Ahmed Imran Hunjra & Suha Mahmoud Alawi & Sisira Colombage & Uroosa Sahito & Mahnoor Hanif - 1-26 First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses
by Şule Şahin & María del Carmen Boado-Penas & Corina Constantinescu & Julia Eisenberg & Kira Henshaw & Maoqi Hu & Jing Wang & Wei Zhu - 1-27 Pricing, Risk and Volatility in Subordinated Market Models
by Jean-Philippe Aguilar & Justin Lars Kirkby & Jan Korbel
September 2020, Volume 8, Issue 4
- 1-10 Quantile Credibility Models with Common Effects
by Wei Wang & Limin Wen & Zhixin Yang & Quan Yuan - 1-31 A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models
by Christa Cuchiero & Wahid Khosrawi & Josef Teichmann
December 2020, Volume 8, Issue 4
- 1-9 Why to Buy Insurance? An Explainable Artificial Intelligence Approach
by Alex Gramegna & Paolo Giudici - 1-13 Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
by Muhsin Tamturk & Dominic Cortis & Mark Farrell - 1-13 How Efficient Are Indian Banks in Managing the Risk-Return Trade-Off? An Empirical Analysis
by Jalaludeen Navas & Periyasamy Dhanavanthan & Daniel Lazar - 1-14 Parisian Time of Reflected Brownian Motion with Drift on Rays and Its Application in Banking
by Angelos Dassios & Junyi Zhang - 1-14 Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities
by Christopher Bayliss & Marti Serra & Armando Nieto & Angel A. Juan - 1-15 Operational Resilience Disclosures by Banks: Analysis of Annual Reports
by Martin Leo - 1-17 The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies
by Manuel Monge & Luis A. Gil-Alana - 1-18 A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network
by Stefano Martinazzi & Daniele Regoli & Andrea Flori - 1-18 A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics
by Stefan Kremsner & Alexander Steinicke & Michaela Szölgyenyi - 1-21 Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player
by Olivier Féron & Peter Tankov & Laura Tinsi - 1-21 The Sustainability Factor: How Much Do Pension Expenditures Improve in Spain?
by Enrique Devesa & Mar Devesa & Inmaculada Dominguez-Fabián & Borja Encinas & Robert Meneu
September 2020, Volume 8, Issue 3
- 1-10 Criminal Investigation and Criminal Intelligence: Example of Adaptation in the Prevention and Repression of Cybercrime
by Barlatier Jerome - 1-12 Address Identification Using Telematics: An Algorithm to Identify Dwell Locations
by Christopher Grumiau & Mina Mostoufi & Solon Pavlioglou & Tim Verdonck - 1-14 Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis
by Giuseppe Arbia & Riccardo Bramante & Silvia Facchinetti - 1-19 A Longitudinal Analysis of the Impact of Distance Driven on the Probability of Car Accidents
by Jean-Philippe Boucher & Roxane Turcotte - 1-20 Bank Risk Determinants in Latin America
by Mariña Martínez-Malvar & Laura Baselga-Pascual - 1-20 Multivariate General Compound Point Processes in Limit Order Books
by Qi Guo & Bruno Remillard & Anatoliy Swishchuk - 1-21 Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL
by Bernd Engelmann & Ha Pham - 1-23 EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking
by George Tzougas - 1-27 Optimal Dividend Payment in De Finetti Models: Survey and New Results and Strategies
by Christian Hipp
June 2020, Volume 8, Issue 3
- 1-18 A Two-Population Extension of the Exponential Smoothing State Space Model with a Smoothing Penalisation Scheme
by Yanlin Shi & Sixian Tang & Jackie Li - 1-19 Neural Networks and Betting Strategies for Tennis
by Vincenzo Candila & Lucio Palazzo
August 2020, Volume 8, Issue 3
- 1-13 Comparison of Home Advantage in European Football Leagues
by Patrice Marek & František Vávra - 1-14 How Does Split Announcement Affect Stock Liquidity? Evidence from Bursa Malaysia
by S. Amir Tabibian & Zhaoyong Zhang & Mohsen Jafarian - 1-14 Hedging on Betting Markets
by Gustav Axén & Dominic Cortis - 1-16 Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach
by Rizwan Ali & Inayat Ullah Mangla & Ramiz Ur Rehman & Wuzhao Xue & Muhammad Akram Naseem & Muhammad Ishfaq Ahmad - 1-16 Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data
by Long Hai Vo & Duc Hong Vo - 1-18 Deep Local Volatility
by Marc Chataigner & Stéphane Crépey & Matthew Dixon - 1-19 A Note on Simulation Pricing of π -Options
by Zbigniew Palmowski & Tomasz Serafin - 1-23 Variance and Interest Rate Risk in Unit-Linked Insurance Policies
by David Baños & Marc Lagunas-Merino & Salvador Ortiz-Latorre - 1-26 Joshi’s Split Tree for Option Pricing
by Guillaume Leduc & Merima Nurkanovic Hot - 1-26 Nagging Predictors
by Ronald Richman & Mario V. Wüthrich - 1-27 The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk
by Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li
July 2020, Volume 8, Issue 3
- 1-8 A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics
by Arianna Agosto & Paolo Giudici - 1-11 Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?
by Han Lin Shang & Steven Haberman - 1-15 The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model
by Lorenzo Cerboni Baiardi & Massimo Costabile & Domenico De Giovanni & Fabio Lamantia & Arturo Leccadito & Ivar Massabó & Massimiliano Menzietti & Marco Pirra & Emilio Russo & Alessandro Staino - 1-17 How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure
by Saswat Patra & Malay Bhattacharyya - 1-17 Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities
by Steffen Volkenand & Günther Filler & Martin Odening - 1-17 Tail Risk Transmission: A Study of the Iran Food Industry
by Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici - 1-18 Fiscal Responsibility Legal Framework—New Paradigm for Fiscal Discipline in the EU
by Mihaela Tofan & Mihaela Onofrei & Anca-Florentina Vatamanu - 1-19 Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data
by Rocco Roberto Cerchiara & Francesco Acri - 1-24 Neural Network Pricing of American Put Options
by Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira - 1-30 Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk
by Jingnan Wang & Ralf Korn - 1-34 Effect of Variance Swap in Hedging Volatility Risk
by Yang Shen
June 2020, Volume 8, Issue 2
- 1-12 Hedging with Liquidity Risk under CEV Diffusion
by Sang-Hyeon Park & Kiseop Lee