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Content
April 2020, Volume 8, Issue 2
- 1-14 A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis
by José María Sarabia & Faustino Prieto & Vanesa Jordá & Stefan Sperlich - 1-14 Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market
by Arianna Agosto & Alessia Cafferata - 1-14 Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets
by Ahmed Imran Hunjra & Tahar Tayachi & Rashid Mehmood & Sidra Malik & Zoya Malik - 1-15 Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility
by Moawia Alghalith & Christos Floros & Konstantinos Gkillas - 1-16 Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets
by Duc Hong Vo & Ha Minh Nguyen & Tan Manh Vo & Michael McAleer - 1-21 How Do Health, Care Services Consumption and Lifestyle Factors Affect the Choice of Health Insurance Plans in Switzerland?
by Veronika Kalouguina & Joël Wagner - 1-22 A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector
by Anna Denkowska & Stanisław Wanat - 1-30 Deep Arbitrage-Free Learning in a Generalized HJM Framework via Arbitrage-Regularization
by Anastasis Kratsios & Cody Hyndman - 1-34 Neural Networks for the Joint Development of Individual Payments and Claim Incurred
by Łukasz Delong & Mario V. Wüthrich
January 2020, Volume 8, Issue 1
- 1-4 Acknowledgement to Reviewers of Risks in 2019
by Risks Editorial Office - 1-13 Modelling Unobserved Heterogeneity in Claim Counts Using Finite Mixture Models
by Lluís Bermúdez & Dimitris Karlis & Isabel Morillo - 1-14 Lead Behaviour in Bitcoin Markets
by Ying Chen & Paolo Giudici & Branka Hadji Misheva & Simon Trimborn - 1-17 In-Sample Hazard Forecasting Based on Survival Models with Operational Time
by Stephan M. Bischofberger - 1-20 Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model
by Alin Marius Andries & Elena Galasan - 1-22 A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model
by Emilio Russo - 1-29 General Conditions of Weak Convergence of Discrete-Time Multiplicative Scheme to Asset Price with Memory
by Yuliya Mishura & Kostiantyn Ralchenko & Sergiy Shklyar - 1-32 Pricing of Commodity Derivatives on Processes with Memory
by Fred Espen Benth & Asma Khedher & Michèle Vanmaele - 1-33 Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
by Takaaki Koike & Marius Hofert
February 2020, Volume 8, Issue 1
- 1-15 A Comprehensive Stability Indicator for Banks
by Robert J. Powell & Duc H. Vo - 1-17 Assessing Asset-Liability Risk with Neural Networks
by Patrick Cheridito & John Ery & Mario V. Wüthrich - 1-18 Portfolio Optimization under Correlation Constraint
by Aditya Maheshwari & Traian A. Pirvu - 1-19 A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums
by Emilio Gómez-Déniz & Enrique Calderín-Ojeda - 1-20 Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE
by David E. Allen & Michael McAleer - 1-21 Delta Boosting Implementation of Negative Binomial Regression in Actuarial Pricing
by Simon CK Lee - 1-23 Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe
by Adam Marszk & Ewa Lechman - 1-26 Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model
by Ioannis Badounas & Georgios Pitselis - 1-28 Stochastic Mortality Modelling for Dependent Coupled Lives
by Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen - 1-79 Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies
by Anne-Sophie Krah & Zoran Nikolić & Ralf Korn
March 2020, Volume 8, Issue 1
- 1-15 CARL and His POT: Measuring Risks in Commodity Markets
by Bernardina Algieri & Arturo Leccadito - 1-16 Mean-Variance Optimization Is a Good Choice, But for Other Reasons than You Might Think
by Andrea Rigamonti - 1-16 Longevity Risk Measurement of Life Annuity Products
by Pauline Milaure Ngugnie Diffouo & Pierre Devolder - 1-18 Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks
by Andrea Macrina & David Skovmand - 1-20 On Computations in Renewal Risk Models—Analytical and Statistical Aspects
by Josef Anton Strini & Stefan Thonhauser - 1-25 General Compound Hawkes Processes in Limit Order Books
by Anatoliy Swishchuk & Aiden Huffman - 1-25 Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence
by Franck Adékambi & Essodina Takouda - 1-27 Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques
by Mathias Bärtl & Simone Krummaker - 1-32 The Leaders, the Laggers, and the “Vulnerables”
by Veni Arakelian & Shatha Qamhieh Hashem - 1-36 Importance Sampling in the Presence of PD-LGD Correlation
by Adam Metzler & Alexandre Scott
December 2019, Volume 8, Issue 1
- 1-2 Risks Special Issue on “Granular Models and Machine Learning Models”
by Greg Taylor - 1-14 Variations of Particle Swarm Optimization for Obtaining Classification Rules Applied to Credit Risk in Financial Institutions of Ecuador
by Patricia Jimbo Santana & Laura Lanzarini & Aurelio F. Bariviera
September 2019, Volume 7, Issue 4
- 1-17 A New Heavy Tailed Class of Distributions Which Includes the Pareto
by Deepesh Bhati & Enrique Calderín-Ojeda & Mareeswaran Meenakshi - 1-21 Credit Valuation Adjustment Compression by Genetic Optimization
by Marc Chataigner & Stéphane Crépey
November 2019, Volume 7, Issue 4
- 1-11 Omnichannel Banking Economy
by Sergey A. Vasiliev & Eugene R. Serov - 1-13 Market Risk Analysis of Energy in Vietnam
by Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer - 1-14 Tail Dependence in Financial Markets: A Dynamic Copula Approach
by Federico Pasquale Cortese - 1-18 High Frequency Price Change Spillovers in Bitcoin Markets
by Paolo Giudici & Paolo Pagnottoni - 1-21 Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes
by Qiyue He & Anatoliy Swishchuk - 1-21 A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems
by Florin Avram & Jose-Luis Perez-Garmendia - 1-22 Conditional Variance Forecasts for Long-Term Stock Returns
by Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich - 1-25 On Market Share Drivers in the Swiss Mandatory Health Insurance Sector
by Dalit Daily-Amir & Hansjörg Albrecher & Martin Bladt & Joël Wagner
December 2019, Volume 7, Issue 4
- 1-9 The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps
by Florin Avram & Dan Goreac & Jean-François Renaud - 1-15 The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters
by Elie Bouri - 1-15 On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures
by Wided Khiari & Salim Ben Sassi - 1-16 Developing an Impairment Loss Given Default Model Using Weighted Logistic Regression Illustrated on a Secured Retail Bank Portfolio
by Douw Gerbrand Breed & Tanja Verster & Willem D. Schutte & Naeem Siddiqi - 1-20 A Likelihood Approach to Bornhuetter–Ferguson Analysis
by Valandis Elpidorou & Carolin Margraf & María Dolores Martínez-Miranda & Bent Nielsen - 1-24 On the Padé and Laguerre–Tricomi–Weeks Moments Based Approximations of the Scale Function W and of the Optimal Dividends Barrier for Spectrally Negative Lévy Risk Processes
by Florin Avram & Andras Horváth & Serge Provost & Ulyses Solon - 1-31 Social Security Benefit Valuation, Risk, and Optimal Retirement
by Yassmin Ali & Ming Fang & Pablo A. Arrutia Sota & Stephen Taylor & Xun Wang
October 2019, Volume 7, Issue 4
- 1-10 Three Essays on Stopping
by Eberhard Mayerhofer - 1-14 Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims
by Hansjörg Albrecher & Eleni Vatamidou - 1-14 Aggregation of Incidence and Intensity Risk Variables to Achieve Reconciliation
by Clive Hunt & Ross Taplin - 1-16 Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?
by Xiaoyi Shen & Albert K. Tsui & Zhaoyong Zhang - 1-16 Option Implied Stock Buy-Side and Sell-Side Market Depths
by Feng-Tse Tsai - 1-18 A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance
by Angelos Dassios & Jiwook Jang & Hongbiao Zhao - 1-18 Credit Risk Migration and Economic Cycles
by Camilla Ferretti & Giampaolo Gabbi & Piero Ganugi & Federica Sist & Pietro Vozzella - 1-20 A Study on Global Investors’ Criteria for Investment in the Local Currency Bond Markets Using AHP Methods: The Case of the Republic of Korea
by Jae Young Jang & Min Jae Park - 1-36 Claim Watching and Individual Claims Reserving Using Classification and Regression Trees
by Massimo De Felice & Franco Moriconi
July 2019, Volume 7, Issue 3
- 1-11 De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes
by Jean-François Renaud - 1-11 Quantile Regression with Telematics Information to Assess the Risk of Driving above the Posted Speed Limit
by Ana M. Pérez-Marín & Montserrat Guillen & Manuela Alcañiz & Lluís Bermúdez - 1-15 Bankruptcy Risk, Its Financial Determinants and Reporting Delays: Do Managers Have Anything to Hide?
by Oliver Lukason & María-del-Mar Camacho-Miñano - 1-18 Individual Loss Reserving Using a Gradient Boosting-Based Approach
by Francis Duval & Mathieu Pigeon - 1-18 Loss Reserving Models: Granular and Machine Learning Forms
by Greg Taylor - 1-20 Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation
by Nader Trabelsi & Aviral Kumar Tiwari - 1-21 An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages
by Dan Cheng & Pasquale Cirillo - 1-24 Hospital Proximity and Mortality in Australia
by Andrew Leung - 1-25 The Time-Spatial Dimension of Eurozone Banking Systemic Risk
by Matteo Foglia & Eliana Angelini - 1-27 Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification
by Prayut Jain & Shashi Jain - 1-29 Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment
by Antonio Pallaria & Nino Savelli
September 2019, Volume 7, Issue 3
- 1-7 Special Issue “Risk, Ruin and Survival: Decision Making in Insurance and Finance”
by Jiandong Ren & Kristina Sendova & Ričardas Zitikis - 1-11 Penalising Unexplainability in Neural Networks for Predicting Payments per Claim Incurred
by Jacky H. L. Poon - 1-12 DeepTriangle: A Deep Learning Approach to Loss Reserving
by Kevin Kuo - 1-18 Coherent-Price Systems and Uncertainty-Neutral Valuation
by Patrick Beissner - 1-41 Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance
by Jason S. Anquandah & Leonid V. Bogachev
August 2019, Volume 7, Issue 3
- 1-11 Potential Densities for Taxed Spectrally Negative Lévy Risk Processes
by Wenyuan Wang & Xiaowen Zhou - 1-13 Persistence of Bank Credit Default Swap Spreads
by Xin Huang - 1-14 Nash Bargaining Over Margin Loans to Kelly Gamblers
by Alex Garivaltis - 1-15 Optimal Risk Budgeting under a Finite Investment Horizon
by Marcos López de Prado & Ralph Vince & Qiji Jim Zhu - 1-15 On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes
by Pavel V. Gapeev & Neofytos Rodosthenous & V. L. Raju Chinthalapati - 1-15 LIBOR Fallback and Quantitative Finance
by Marc Pierre Henrard - 1-17 Parametric Conditions of High Financial Risk in the SME Sector
by Beata Ślusarczyk & Katarzyna Grondys - 1-18 Liquidity Risk Drivers and Bank Business Models
by Simona Galletta & Sebastiano Mazzù - 1-18 Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures
by Hans Rau-Bredow - 1-20 Drivers of Old-Age Dependence and Long-Term Care Usage in Switzerland—A Structural Equation Model Approach
by Iegor Rudnytskyi & Joël Wagner - 1-21 Logarithmic Asymptotics for Probability of Component-Wise Ruin in a Two-Dimensional Brownian Model
by Krzysztof Dȩbicki & Lanpeng Ji & Tomasz Rolski
June 2019, Volume 7, Issue 3
April 2019, Volume 7, Issue 2
- 1-12 Bank Competition in India: Some New Evidence Using Risk-Adjusted Lerner Index Approach
by Rakesh Arrawatia & Arun Misra & Varun Dawar & Debasish Maitra - 1-14 Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model
by Jean-Philippe Aguilar & Jan Korbel - 1-18 Sound Deposit Insurance Pricing Using a Machine Learning Approach
by Hirbod Assa & Mostafa Pouralizadeh & Abdolrahim Badamchizadeh - 1-19 Recent Regulation in Credit Risk Management: A Statistical Framework
by Logan Ewanchuk & Christoph Frei - 1-19 Measuring and Allocating Systemic Risk
by Markus K. Brunnermeier & Patrick Cheridito - 1-20 Defining Geographical Rating Territories in Auto Insurance Regulation by Spatially Constrained Clustering
by Shengkun Xie - 1-21 Experience Prospective Life-Tables for the Algerian Retirees
by Farid Flici & Frédéric Planchet - 1-22 Asymptotically Normal Estimators of the Ruin Probability for Lévy Insurance Surplus from Discrete Samples
by Yasutaka Shimizu & Zhimin Zhang - 1-22 Treatment Level and Store Level Analyses of Healthcare Data
by Kaiwen Wang & Jiehui Ding & Kristen R. Lidwell & Scott Manski & Gee Y. Lee & Emilio Xavier Esposito - 1-29 Pricing of Longevity Derivatives and Cost of Capital
by Fadoua Zeddouk & Pierre Devolder - 1-30 Imbalance Market Real Options and the Valuation of Storage in Future Energy Systems
by John Moriarty & Jan Palczewski - 1-35 Contingent Convertible Debt: The Impact on Equity Holders
by Delphine Boursicot & Geneviève Gauthier & Farhad Pourkalbassi
March 2019, Volume 7, Issue 2
- 1-25 Mortality Projections for Small Populations: An Application to the Maltese Elderly
by Massimiliano Menzietti & Maria Francesca Morabito & Manuela Stranges
June 2019, Volume 7, Issue 2
- 1-8 A Renewal Shot Noise Process with Subexponential Shot Marks
by Yiqing Chen - 1-9 Generalized Multiplicative Risk Apportionment
by Hongxia Wang - 1-16 Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem
by Emilio Gómez-Déniz & José María Sarabia & Enrique Calderín-Ojeda - 1-16 Predicting Motor Insurance Claims Using Telematics Data—XGBoost versus Logistic Regression
by Jessica Pesantez-Narvaez & Montserrat Guillen & Manuela Alcañiz - 1-17 Default Ambiguity
by Tolulope Fadina & Thorsten Schmidt - 1-18 Smallholder Farmers’ Willingness to Pay for Agricultural Production Cost Insurance in Rural West Java, Indonesia: A Contingent Valuation Method (CVM) Approach
by Dadang Jainal Mutaqin & Koichi Usami - 1-22 The Investigation of a Forward-Rate Mortality Framework
by Daniel H. Alai & Katja Ignatieva & Michael Sherris - 1-22 Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model
by Ioannis Anagnostou & Drona Kandhai - 1-23 Credit Risk Assessment Model for Small and Micro-Enterprises: The Case of Lithuania
by Rasa Kanapickiene & Renatas Spicas - 1-27 Analysis of Stochastic Reserving Models By Means of NAIC Claims Data
by László Martinek - 1-31 A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
by Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu
May 2019, Volume 7, Issue 2
- 1-11 The Population Accuracy Index: A New Measure of Population Stability for Model Monitoring
by Ross Taplin & Clive Hunt - 1-14 Statistical Inference for the Beta Coefficient
by Taras Bodnar & Arjun K. Gupta & Valdemar Vitlinskyi & Taras Zabolotskyy - 1-15 The Determinants of Market-Implied Recovery Rates
by Pascal François - 1-16 Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions
by Vytaras Brazauskas & Sahadeb Upretee - 1-20 Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement
by Francesca Greselin & Fabio Piacenza & Ričardas Zitikis - 1-20 American Options on High Dividend Securities: A Numerical Investigation
by Francesco Rotondi - 1-22 Direct and Hierarchical Models for Aggregating Spatially Dependent Catastrophe Risks
by Rafał Wójcik & Charlie Wusuo Liu & Jayanta Guin - 1-23 Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models
by Matteo Brachetta & Claudia Ceci - 1-23 Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation
by Søren Asmussen & Bent Jesper Christensen & Julie Thøgersen - 1-24 Revisiting Calibration of the Solvency II Standard Formula for Mortality Risk: Does the Standard Stress Scenario Provide an Adequate Approximation of Value-at-Risk?
by Rokas Gylys & Jonas Šiaulys - 1-26 Spatial Risk Measures and Rate of Spatial Diversification
by Erwan Koch - 1-30 The Optimum Leverage Level of the Banking Sector
by Sagara Dewasurendra & Pedro Judice & Qiji Zhu
February 2019, Volume 7, Issue 1
- 1-10 An Innovative Framework for Risk Management in Construction Projects in Developing Countries: Evidence from Pakistan
by Ahsan Nawaz & Ahsan Waqar & Syyed Adnan Raheel Shah & Muhammad Sajid & Muhammad Irslan Khalid - 1-13 An Indexation Mechanism for Retirement Age: Analysis of the Gender Gap
by Mariarosaria Coppola & Maria Russolillo & Rosaria Simone - 1-15 The W , Z / ν , δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps
by Florin Avram & Danijel Grahovac & Ceren Vardar-Acar - 1-15 Mortality Forecasting: How Far Back Should We Look in Time?
by Han Li & Colin O’Hare - 1-17 Modelling Recovery Rates for Non-Performing Loans
by Hui Ye & Anthony Bellotti - 1-18 Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM
by Rui Zhou & Guangyu Xing & Min Ji - 1-18 Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices
by Mansi Jain & Gagan Deep Sharma & Mrinalini Srivastava - 1-19 Application of Machine Learning to Mortality Modeling and Forecasting
by Susanna Levantesi & Virginia Pizzorusso - 1-20 Determining Distribution for the Product of Random Variables by Using Copulas
by Sel Ly & Kim-Hung Pho & Sal Ly & Wing-Keung Wong - 1-21 The OFR Financial Stress Index
by Phillip J. Monin - 1-22 Pricing Options and Computing Implied Volatilities using Neural Networks
by Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte - 1-22 Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits
by Søren Asmussen & Patrick J. Laub & Hailiang Yang - 1-22 Credible Regression Approaches to Forecast Mortality for Populations with Limited Data
by Apostolos Bozikas & Georgios Pitselis - 1-29 Market Risk and Financial Performance of Non-Financial Companies Listed on the Moroccan Stock Exchange
by Diby François Kassi & Dilesha Nawadali Rathnayake & Pierre Axel Louembe & Ning Ding
January 2019, Volume 7, Issue 1
- 1-4 Acknowledgement to Reviewers of Risks in 2018
by Risks Editorial Office - 1-11 Efficient Retirement Portfolios: Using Life Insurance to Meet Income and Bequest Goals in Retirement
by Fangyuan Dong & Nick Halen & Kristen Moore & Qinglai Zeng - 1-12 Surplus Sharing with Coherent Utility Functions
by Delia Coculescu & Freddy Delbaen - 1-12 Multivariate Risk-Neutral Pricing of Reverse Mortgages under the Bayesian Framework
by Jackie Li & Atsuyuki Kogure & Jia Liu - 1-18 Dealing with Drift Uncertainty: A Bayesian Learning Approach
by Carmine De Franco & Johann Nicolle & Huyên Pham - 1-18 Convolutional Neural Network Classification of Telematics Car Driving Data
by Guangyuan Gao & Mario V. Wüthrich - 1-18 An Object-Oriented Bayesian Framework for the Detection of Market Drivers
by Maria Elena De Giuli & Alessandro Greppi & Marina Resta - 1-20 Measuring Equity Share Related Risk Perception of Investors in Economically Backward Regions
by Ranjit Singh & Jayashree Bhattacharjee - 1-23 Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH
by Ravi Summinga-Sonagadu & Jason Narsoo - 1-24 Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
by Mauricio Junca & Harold A. Moreno-Franco & José Luis Pérez - 1-25 Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
by Man Chung Fung & Katja Ignatieva & Michael Sherris - 1-25 Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution
by Paolo Giudici & Laura Parisi
March 2019, Volume 7, Issue 1
- 1-15 A Genetic Algorithm for Investment–Consumption Optimization with Value-at-Risk Constraint and Information-Processing Cost
by Zhuo Jin & Zhixin Yang & Quan Yuan - 1-16 A Deep Learning Integrated Lee–Carter Model
by Andrea Nigri & Susanna Levantesi & Mario Marino & Salvatore Scognamiglio & Francesca Perla - 1-21 Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
by Fabien Le Floc’h & Cornelis W. Oosterlee - 1-22 Machine Learning in Banking Risk Management: A Literature Review
by Martin Leo & Suneel Sharma & K. Maddulety - 1-22 On Double Value at Risk
by Wanbing Zhang & Sisi Zhang & Peibiao Zhao - 1-25 CEO Overconfidence and Shadow-Banking Life Insurer Performance Under Government Purchases of Distressed Assets
by Shi Chen & Jyh-Horng Lin & Wenyu Yao & Fu-Wei Huang - 1-32 Optimal Portfolio Selection in an Itô–Markov Additive Market
by Zbigniew Palmowski & Łukasz Stettner & Anna Sulima
December 2018, Volume 7, Issue 1
- 1-19 Using Neural Networks to Price and Hedge Variable Annuity Guarantees
by Daniel Doyle & Chris Groendyke
October 2018, Volume 6, Issue 4
- 1-11 Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis
by Angelo Corelli - 1-11 Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models
by Chengbo Fu - 1-13 Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments
by Sooie-Hoe Loke & Enrique Thomann - 1-14 Hedge or Rebalance: Optimal Risk Management with Transaction Costs
by Florent Gallien & Serge Kassibrakis & Semyon Malamud - 1-15 Business Distress Prediction Using Bayesian Logistic Model for Indian Firms
by Arvind Shrivastava & Kuldeep Kumar & Nitin Kumar - 1-15 New Insights on Hedge Ratios in the Presence of Stochastic Transaction Costs
by Elisson Andrade & Fabio Mattos & Roberto Arruda de Souza Lima - 1-15 Robust Estimations for the Tail Index of Weibull-Type Distribution
by Chengping Gong & Chengxiu Ling - 1-15 Generating VaR Scenarios under Solvency II with Product Beta Distributions
by Dietmar Pfeifer & Olena Ragulina - 1-16 On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate
by Chen Li & Xiaohu Li - 1-16 On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets
by Vincenzo Candila & Salvatore Farace - 1-22 Risk of Bankruptcy, Its Determinants and Models
by Jarmila Horváthová & Martina Mokrišová - 1-22 Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia
by Robert J. Powell & Duc H. Vo & Thach N. Pham - 1-26 A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection
by Xin Liu & Jiang Wu & Chen Yang & Wenjun Jiang - 1-26 RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan
by Fengming Qin & Junru Zhang & Zhaoyong Zhang - 1-26 Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data
by Marie Angèle Cathleen Alijean & Jason Narsoo
November 2018, Volume 6, Issue 4
- 1-11 Towards a Topological Representation of Risks and Their Measures
by Tomer Shushi - 1-12 Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate
by Hongmin Xiao & Lin Xie - 1-15 Perpetual American Defaultable Options in Models with Random Dividends and Partial Information
by Pavel V. Gapeev & Hessah Al Motairi - 1-17 Peer-To-Peer Lending: Classification in the Loan Application Process
by Xinyuan Wei & Jun-ya Gotoh & Stan Uryasev - 1-19 Measures of Efficiency of Agricultural Insurance in Italy, Economic Evaluations
by Fabian Capitanio & Antonio De Pin - 1-20 Target Matrix Estimators in Risk-Based Portfolios
by Marco Neffelli - 1-24 The Fundamental Equity Premium and Ambiguity Aversion in an International Context
by Minh Hai Ngo & Marc Oliver Rieger & Shuonan Yuan - 1-24 The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network
by Abdul-Aziz Ibn Musah & Jianguo Du & Hira Salah Ud din Khan & Alhassan Alolo Abdul-Rasheed Akeji - 1-26 Modeling Financial System with Interbank Flows, Borrowing, and Investing
by Aditya Maheshwari & Andrey Sarantsev - 1-27 National Culture and Corporate Rating Migrations
by Huong Dieu Dang - 1-42 The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns
by Jung-Bin Su & Jui-Cheng Hung
December 2018, Volume 6, Issue 4
- 1-16 Firm’s Credit Risk in the Presence of Market Structural Breaks
by Haipeng Xing & Yang Yu - 1-16 Credibility Methods for Individual Life Insurance
by Yikai (Maxwell) Gong & Zhuangdi Li & Maria Milazzo & Kristen Moore & Matthew Provencher - 1-17 Memory, Risk Aversion, and Nonlife Insurance Consumption: Evidence from Emerging and Developing Markets
by Ashu Tiwari & Archana Patro - 1-21 Measurement of Systemic Risk in a Common European Union Risk-Based Deposit Insurance System: Formal Necessity or Value-Adding Process?
by Aida Barkauskaite & Ausrine Lakstutiene & Justyna Witkowska - 1-24 Overdispersed-Poisson Model in Claims Reserving: Closed Tool for One-Year Volatility in GLM Framework
by Stefano Cavastracci Strascia & Agostino Tripodi - 1-26 Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets
by Tihana Škrinjarić - 1-27 Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds
by Christina Erlwein-Sayer