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Content
December 2018, Volume 6, Issue 4
- 1-28 On the Failure to Reach the Optimal Government Debt Ceiling
by Abel Cadenillas & Ricardo Huamán-Aguilar - 1-28 A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations
by Matthias Fischer & Thorsten Moser & Marius Pfeuffer - 1-32 Firm’s Risk-Return Association Facets and Prospect Theory Findings—An Emerging versus Developed Country Context
by Ranjan Das Gupta & Rajesh Pathak
September 2018, Volume 6, Issue 4
- 1-13 Three Different Ways Synchronization Can Cause Contagion in Financial Markets
by Naji Massad & Jørgen Vitting Andersen - 1-15 A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs
by Phong Luu & Jingzhi Tie & Qing Zhang - 1-17 Effects of the Age Process on Aggregate Discounted Claims
by Ghislain Léveillé & Ilie-Radu Mitric & Victor Côté - 1-18 Long Run Returns Predictability and Volatility with Moving Averages
by Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer - 1-18 A Robust General Multivariate Chain Ladder Method
by Kris Peremans & Stefan Van Aelst & Tim Verdonck - 1-25 Bond Yields, Sovereign Risk and Maturity Structure
by Marcos González-Fernández & Carmen González-Velasco
July 2018, Volume 6, Issue 3
- 1-12 Systemic Risk and Insurance Regulation †
by Fabiana Gómez & Jorge Ponce - 1-15 Company Value with Ruin Constraint in Lundberg Models
by Christian Hipp - 1-18 Association Rules for Understanding Policyholder Lapses
by Himchan Jeong & Guojun Gan & Emiliano A. Valdez - 1-19 Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions
by Guojun Gan - 1-25 Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance
by Kristian Buchardt & Thomas Møller - 1-25 Extreme Portfolio Loss Correlations in Credit Risk
by Andreas Mühlbacher & Thomas Guhr - 1-27 Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?
by Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet - 1-29 One-Year Change Methodologies for Fixed-Sum Insurance Contracts
by Michel Dacorogna & Alessandro Ferriero & David Krief - 1-37 Log-Normal or Over-Dispersed Poisson?
by Jonas Harnau
August 2018, Volume 6, Issue 3
- 1-11 A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model
by Mohamed Amine Lkabous & Jean-François Renaud - 1-14 Health Insurance in Myanmar: The Views and Perception of Healthcare Consumers and Health System Informants on the Establishment of a Nationwide Health Insurance System
by Marjolein Van Rooijen & Chaw-Yin Myint & Milena Pavlova & Wim Groot - 1-14 On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform
by Raluca Vernic - 1-15 On Fund Mapping Regressions Applied to Segregated Funds Hedging Under Regime-Switching Dynamics
by Denis-Alexandre Trottier & Frédéric Godin & Emmanuel Hamel - 1-15 Some Results on Measures of Interaction between Paired Risks
by Rui Fang & Xiaohu Li - 1-16 Bayesian Adjustment for Insurance Misrepresentation in Heavy-Tailed Loss Regression
by Michelle Xia - 1-16 The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe
by Jatin Malhotra & Angelo Corelli - 1-17 Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models
by Fouad Marri & Franck Adékambi & Khouzeima Moutanabbir - 1-19 The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates
by Holger Fink & Andreas Fuest & Henry Port - 1-20 On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance
by Vadim Semenikhine & Edward Furman & Jianxi Su - 1-20 Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance
by Martin Ewen - 1-31 A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures
by Stanislaus Maier-Paape & Qiji Jim Zhu - 1-33 Calendar Spread Exchange Options Pricing with Gaussian Random Fields
by Donatien Hainaut - 1-54 Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †
by Giuseppe Montesi & Giovanni Papiro
September 2018, Volume 6, Issue 3
- 1-11 A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model
by Nadezhda Gribkova & Ričardas Zitikis - 1-13 The Stability of the Aggregate Loss Distribution
by Riccardo Gatto - 1-13 On the Basel Liquidity Formula for Elliptical Distributions
by Janine Balter & Alexander J. McNeil - 1-14 Optimum Technology Product Life Cycle Technology Innovation Investment-Using Compound Binomial Options
by Chuan-Chuan Ko & Tyrone T. Lin & Fu-Min Zeng & Chien-Yu Liu - 1-17 Mean Field Game with Delay: A Toy Model
by Jean-Pierre Fouque & Zhaoyu Zhang - 1-17 A Quantum-Type Approach to Non-Life Insurance Risk Modelling
by Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev - 1-19 CoRisk: Credit Risk Contagion with Correlation Network Models
by Paolo Giudici & Laura Parisi - 1-20 The Impact of Management Fees on the Pricing of Variable Annuity Guarantees
by Jin Sun & Pavel V. Shevchenko & Man Chung Fung - 1-21 The Interaction of Borrower and Loan Characteristics in Predicting Risks of Subprime Automobile Loans
by Yaseen Ghulam & Kamini Dhruva & Sana Naseem & Sophie Hill - 1-22 Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach
by Adnen Ben Nasr & Juncal Cunado & Rıza Demirer & Rangan Gupta - 1-24 Fluctuation Theory for Upwards Skip-Free Lévy Chains
by Matija Vidmar - 1-30 Bootstrapping Average Value at Risk of Single and Collective Risks
by Eric Beutner & Henryk Zähle - 1-47 General Quantile Time Series Regressions for Applications in Population Demographics
by Gareth W. Peters - 1-70 Linear Regression for Heavy Tails
by Guus Balkema & Paul Embrechts
June 2018, Volume 6, Issue 3
- 1-13 Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint
by Frédéric Vrins - 1-15 Masked Instability: Within-Sector Financial Risk in the Presence of Wealth Inequality
by Youngna Choi - 1-17 Hierarchical Markov Model in Life Insurance and Social Benefit Schemes
by Jiwook Jang & Siti Norafidah Mohd Ramli - 1-38 Surrender Risk in the Context of the Quantitative Assessment of Participating Life Insurance Contracts under Solvency II
by Tobias Burkhart
April 2018, Volume 6, Issue 2
- 1-10 Life Insurance and Annuity Demand under Hyperbolic Discounting
by Siqi Tang & Sachi Purcal & Jinhui Zhang - 1-11 Multivariate Credibility in Bonus-Malus Systems Distinguishing between Different Types of Claims
by Emilio Gómez-Déniz & Enrique Calderín-Ojeda - 1-12 Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems
by Wei Wei - 1-13 An Intersection–Union Test for the Sharpe Ratio
by Gabriel Frahm - 1-16 Under What Conditions Do Rules-Based and Capability-Based Management Modes Dominate?
by Lukas Michel & Johanna Anzengruber & Marco Wölfle & Nick Hixson - 1-16 How Does Distress Acquisition Incentivized by Government Purchases of Distressed Loans Affect Bank Default Risk?
by Jyh-Jiuan Lin & Chuen-Ping Chang & Shi Chen - 1-16 Active Management of Operational Risk in the Regimes of the “Unknown”: What Can Machine Learning or Heuristics Deliver?
by Udo Milkau & Jürgen Bott - 1-16 Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
by Marco Bee & Luca Trapin - 1-16 Volatility Is Log-Normal—But Not for the Reason You Think
by Martin Tegnér & Rolf Poulsen - 1-17 The Cascade Bayesian Approach: Prior Transformation for a Controlled Integration of Internal Data, External Data and Scenarios
by Bertrand K. Hassani & Alexis Renaudin - 1-18 On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics
by Florin Avram & Sooie-Hoe Loke - 1-20 Credit Risk Analysis Using Machine and Deep Learning Models
by Peter Martey Addo & Dominique Guegan & Bertrand Hassani - 1-20 The Italian Pension Gap: A Stochastic Optimal Control Approach
by Alessandro Milazzo & Elena Vigna - 1-21 Estimating the Potential Risks of Sea Level Rise for Public and Private Property Ownership, Occupation and Management
by Georgia Warren-Myers & Gideon Aschwanden & Franz Fuerst & Andy Krause - 1-23 An Optimal Investment Strategy for Insurers in Incomplete Markets
by Mohamed Badaoui & Begoña Fernández & Anatoliy Swishchuk - 1-23 Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity
by Xavier Milhaud & Victorien Poncelet & Clement Saillard - 1-25 Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
by Andreas Mühlbacher & Thomas Guhr - 1-34 An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing
by Apostolos Bozikas & Georgios Pitselis - 1-39 Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes
by José-Luis Pérez & Kazutoshi Yamazaki
March 2018, Volume 6, Issue 2
- 1-9 Subjective Expected Utility with State-Dependent but Action/Observation-Independent Preferences
by Jacques H. Drèze - 1-13 Precise Large Deviations for Subexponential Distributions in a Multi Risk Model
by Dimitrios G. Konstantinides - 1-15 Analyzing the Risks Embedded in Option Prices with rndfittool
by Andrea Barletta & Paolo Santucci de Magistris - 1-16 The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase
by Xiaoyi Zhang & Junyi Guo - 1-25 Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models
by Jonas Harnau - 1-28 Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model
by Yanlin Shi & Yang Yang - 1-32 An Individual Claims History Simulation Machine
by Andrea Gabrielli & Mario V. Wüthrich
June 2018, Volume 6, Issue 2
- 1-26 A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies
by Anne-Sophie Krah & Zoran Nikolić & Ralf Korn - 1-28 On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles
by James Ming Chen
May 2018, Volume 6, Issue 2
- 1-11 Diversification and Systemic Risk: A Financial Network Perspective
by Rüdiger Frey & Juraj Hledik - 1-13 The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula
by Gian Paolo Clemente - 1-13 Using Cutting-Edge Tree-Based Stochastic Models to Predict Credit Risk
by Khaled Halteh & Kuldeep Kumar & Adrian Gepp - 1-16 On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment
by Shuanming Li & Yi Lu - 1-18 On Two Mixture-Based Clustering Approaches Used in Modeling an Insurance Portfolio
by Tatjana Miljkovic & Daniel Fernández - 1-19 Risk Aversion, Loss Aversion, and the Demand for Insurance
by Louis Eeckhoudt & Anna Maria Fiori & Emanuela Rosazza Gianin - 1-20 Real-Option Valuation in a Finite-Time, Incomplete Market with Jump Diffusion and Investor-Utility Inflation
by Timothy Hillman & Nan Zhang & Zhuo Jin - 1-21 Stochastic Modeling of Wind Derivatives in Energy Markets
by Fred Espen Benth & Luca Di Persio & Silvia Lavagnini - 1-22 Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants
by Rasika Yatigammana & Shelton Peiris & Richard Gerlach & David Edmund Allen - 1-25 A Credit-Risk Valuation under the Variance-Gamma Asset Return
by Roman V. Ivanov - 1-35 A General Framework for Portfolio Theory—Part I: Theory and Various Models
by Stanislaus Maier-Paape & Qiji Jim Zhu
March 2018, Volume 6, Issue 1
- 1-2 Special Issue “Ageing Population Risks”
by Pavel V. Shevchenko - 1-15 A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution
by Zinoviy Landsman & Udi Makov & Tomer Shushi - 1-17 The Exponential Estimate of the Ultimate Ruin Probability for the Non-Homogeneous Renewal Risk Model
by Edita Kizinevič & Jonas Šiaulys - 1-18 Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk
by Asmerilda Hitaj & Cesario Mateus & Ilaria Peri - 1-20 Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks
by Thierry Moudiki & Frédéric Planchet & Areski Cousin - 1-21 Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums
by José Garrido & Ramin Okhrati - 1-25 Multivariate Birnbaum-Saunders Distributions: Modelling and Applications
by Robert G. Aykroyd & Víctor Leiva & Carolina Marchant - 1-39 Consistent Valuation Across Curves Using Pricing Kernels
by Andrea Macrina & Obeid Mahomed
January 2018, Volume 6, Issue 1
- 1-2 Acknowledgement to Reviewers of Risks in 2017
by Risks Editorial Office - 1-3 Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance
by Albert Cohen - 1-7 A Simple Traffic Light Approach to Backtesting Expected Shortfall
by Nick Costanzino & Michael Curran - 1-13 On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends
by Kam Pui Wat & Kam Chuen Yuen & Wai Keung Li & Xueyuan Wu - 1-14 Company Value with Ruin Constraint in a Discrete Model
by Christian Hipp - 1-19 Optimal Investment under Cost Uncertainty
by Jerome Detemple & Yerkin Kitapbayev
February 2018, Volume 6, Issue 1
- 1-8 A Note on Parameter Estimation in the Composite Weibull–Pareto Distribution
by Enrique Calderín-Ojeda - 1-12 Price and Profit Optimization for Financial Services
by Catalina Bolancé & Montserrat Guillen & Jens Perch Nielsen & Fredrik Thuring - 1-18 Health Care Workers’ Risk Perceptions and Willingness to Report for Work during an Influenza Pandemic
by Georges Dionne & Denise Desjardins & Martin Lebeau & Stéphane Messier & André Dascal - 1-20 Longevity Risk Management and the Development of a Value-Based Longevity Index
by Yang Chang & Michael Sherris - 1-21 Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression
by Noemi Nava & Tiziana Di Matteo & Tomaso Aste - 1-21 Dread Disease and Cause-Specific Mortality: Exploring New Forms of Insured Loans
by Valeria D’Amato & Emilia Di Lorenzo & Marilena Sibillo - 1-22 Preliminary Investigations for Better Monitoring: Learning in Repeated Insurance Audits
by Reda Aboutajdine & Pierre Picard - 1-27 A Risk-Based Approach for Asset Allocation with A Defaultable Share
by Yang Shen & Tak Kuen Siu - 1-40 Stable Value Funds Performance
by David F. Babbel & Miguel A. Herce
December 2017, Volume 5, Issue 4
- 1-2 Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”
by Luca Regis - 1-19 Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing
by Krzysztof Burnecki & Mario Nicoló Giuricich - 1-19 A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk
by Albert Cohen & Nick Costanzino
September 2017, Volume 5, Issue 4
- 1-16 The Impact of Risk Management in Credit Rating Agencies
by A. Seetharaman & Vikas Kumar Sahu & A. S. Saravanan & John Rudolph Raj & Indu Niranjan - 1-23 Exposure as Duration and Distance in Telematics Motor Insurance Using Generalized Additive Models
by Jean-Philippe Boucher & Steven Côté & Montserrat Guillen - 1-51 Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
by Gareth W. Peters & Rodrigo S. Targino & Mario V. Wüthrich
November 2017, Volume 5, Issue 4
- 1-11 Bounded Brownian Motion
by Peter Carr - 1-16 A Review and Some Complements on Quantile Risk Measures and Their Domain
by Sebastian Fuchs & Ruben Schlotter & Klaus D. Schmidt - 1-16 An Analysis and Implementation of the Hidden Markov Model to Technology Stock Prediction
by Nguyet Nguyen - 1-17 Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains
by Arthur Charpentier & Arthur David & Romuald Elie - 1-24 An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims
by Enrique Calderín-Ojeda & Kevin Fergusson & Xueyuan Wu
October 2017, Volume 5, Issue 4
- 1-13 Optimal Form of Retention for Securitized Loans under Moral Hazard
by Georges Dionne & Sara Malekan - 1-17 Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling
by Gaurav Khemka & Adam Butt - 1-21 Optional Defaultable Markets
by Mohamed N. Abdelghani & Alexander V. Melnikov
August 2017, Volume 5, Issue 3
- 1-14 On the First Crossing of Two Boundaries by an Order Statistics Risk Process
by Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev - 1-14 A Low Price Correction for Improved Volatility Estimation and Forecasting
by George-Jason Siouris & Alex Karagrigoriou - 1-19 Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
by Andreas Hermes & Stanislaus Maier-Paape
September 2017, Volume 5, Issue 3
- 1-12 An Integrated Approach to Pricing Catastrophe Reinsurance
by Carolyn W. Chang & Jack S. K. Chang - 1-17 Optimal Insurance Policies in the Presence of Costs
by Knut K. Aase - 1-17 Model Uncertainty in Operational Risk Modeling Due to Data Truncation: A Single Risk Case
by Daoping Yu & Vytaras Brazauskas - 1-19 A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices
by Daniel Leonhardt & Antony Ware & Rudi Zagst - 1-21 Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement
by Johan G. Andréasson & Pavel V. Shevchenko - 1-29 Interest Rates Term Structure under Ambiguity
by Silvia Romagnoli & Simona Santoro
July 2017, Volume 5, Issue 3
- 1-13 Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression
by Matthias Fischer & Daniel Kraus & Marius Pfeuffer & Claudia Czado - 1-15 Bubbles, Blind-Spots and Brexit
by John Fry & Andrew Brint - 1-17 Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
by Iain J. Clark & Saeed Amen - 1-17 The Class of ( p , q )-spherical Distributions with an Extension of the Sector and Circle Number Functions
by Wolf-Dieter Richter - 1-20 A Robust Approach to Hedging and Pricing in Imperfect Markets
by Hirbod Assa & Nikolay Gospodinov - 1-23 Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates
by Carlo Maccheroni & Samuel Nocito - 1-28 Valuation of Non-Life Liabilities from Claims Triangles
by Mathias Lindholm & Filip Lindskog & Felix Wahl - 1-30 Robust Estimation of Value-at-Risk through Distribution-Free and Parametric Approaches Using the Joint Severity and Frequency Model: Applications in Financial, Actuarial, and Natural Calamities Domains
by Sabyasachi Guharay & KC Chang & Jie Xu - 1-77 Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components
by Dorota Toczydlowska & Gareth W. Peters & Man Chung Fung & Pavel V. Shevchenko
June 2017, Volume 5, Issue 3
- 1-12 Analyzing the Gaver—Lewis Pareto Process under an Extremal Perspective
by Marta Ferreira & Helena Ferreira
March 2017, Volume 5, Issue 2
- 1-18 Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates
by Yuan Gao & Han Lin Shang - 1-18 Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities
by Zaghum Umar & Tahir Suleman - 1-29 Actuarial Applications and Estimation of Extended CreditRisk+
by Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko
May 2017, Volume 5, Issue 2
- 1-11 Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments
by Jing Liu & Huan Zhang - 1-14 Risk Management under Omega Measure
by Michael R. Metel & Traian A. Pirvu & Julian Wong - 1-21 Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II
by Susanna Levantesi & Massimiliano Menzietti - 1-23 State Space Models and the K alman -Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing
by Nataliya Chukhrova & Arne Johannssen
April 2017, Volume 5, Issue 2
- 1-13 Applying spectral biclustering to mortality data
by Gabriella Piscopo & Marina Resta - 1-17 Enhancing Singapore’s Pension Scheme: A Blueprint for Further Flexibility
by Koon-Shing Kwong & Yiu-Kuen Tse & Wai-Sum Chan - 1-28 Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model
by Albert Cohen & Nick Costanzino
June 2017, Volume 5, Issue 2
- 1-10 Effects of Gainsharing Provisions on the Selection of a Discount Rate for a Defined Benefit Pension Plan
by Robert J. Rietz & Evan Cronick & Shelby Mathers & Matt Pollie - 1-44 Actuarial Geometry
by Stephen J. Mildenhall
February 2017, Volume 5, Issue 1
- 1-14 Distinguishing Log-Concavity from Heavy Tails
by Søren Asmussen & Jaakko Lehtomaa - 1-15 Mathematical Analysis of Replication by Cash Flow Matching
by Jan Natolski & Ralf Werner - 1-20 A Discussion of a Risk-Sharing Pension Plan
by Catherine Donnelly - 1-22 Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account
by Wenjun Jiang & Jiandong Ren & Ričardas Zitikis
January 2017, Volume 5, Issue 1
- 1-2 Acknowledgement to Reviewers of Risks in 2016
by Risks Editorial Office - 1-13 The Shifting Shape of Risk: Endogenous Market Failure for Insurance
by Thomas G. Koch - 1-14 Minimum Protection in DC Funding Pension Plans and Margrabe Options
by Pierre Devolder & Sébastien De Valeriola - 1-14 n -Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes
by Xuebing Kuang & Xiaowen Zhou - 1-21 On Comparison of Stochastic Reserving Methods with Bootstrapping
by Liivika Tee & Meelis Käärik & Rauno Viin - 1-22 Change Point Estimation in Panel Data without Boundary Issue
by Barbora Peštová & Michal Pešta - 1-22 Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model
by Bin Zou & Abel Cadenillas - 1-27 The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation
by Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang
March 2017, Volume 5, Issue 1
- 1-11 Context Moderates Priming Effects on Financial Risk Taking
by Silvio Aldrovandi & Petko Kusev & Tetiana Hill & Ivo Vlaev - 1-14 Change Point Detection and Estimation of the Two-Sided Jumps of Asset Returns Using a Modified Kalman Filter
by Ourania Theodosiadou & Sotiris Skaperas & George Tsaklidis - 1-14 Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks
by Xing-Fang Huang & Ting Zhang & Yang Yang & Tao Jiang - 1-18 The Impact of Changes to the Unemployment Rate on Australian Disability Income Insurance Claim Incidence
by Gaurav Khemka & Steven Roberts & Timothy Higgins - 1-20 Evaluating Extensions to Coherent Mortality Forecasting Models
by Syazreen Shair & Sachi Purcal & Nick Parr - 1-20 Optimal Time to Enter a Retirement Village
by Jinhui Zhang & Sachi Purcal & Jiaqin Wei - 1-29 Immunization and Hedging of Post Retirement Income Annuity Products
by Changyu Liu & Michael Sherris
December 2016, Volume 5, Issue 1
- 1-24 Optimal Retention Level for Infinite Time Horizons under MADM
by Başak Bulut Karageyik & Şule Şahin
December 2016, Volume 4, Issue 4
- 1-12 Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
by Ying Wang & Sai Tsang Boris Choy & Hoi Ying Wong - 1-12 Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle
by Mi Chen & Wenyuan Wang & Ruixing Ming - 1-16 How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk
by Ambrose Lo - 1-21 Compositions of Conditional Risk Measures and Solvency Capital
by Pierre Devolder & Adrien Lebègue - 1-28 Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models
by Anastasia Novokreshchenova - 1-30 Macroprudential Insurance Regulation: A Swiss Case Study
by Philippe Deprez & Mario V. Wüthrich - 1-36 Deflation Risk and Implications for Life Insurers
by Jean-François Bégin
November 2016, Volume 4, Issue 4
- 1-10 A Note on Upper Tail Behavior of Liouville Copulas
by Lei Hua - 1-15 Parameter Estimation in Stable Law
by Annika Krutto - 1-19 Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics
by Julie Thøgersen - 1-36 Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
by Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst - 1-37 Estimation of Star-Shaped Distributions
by Eckhard Liebscher & Wolf-Dieter Richter
October 2016, Volume 4, Issue 4
- 1-9 A Note on Realistic Dividends in Actuarial Surplus Models
by Benjamin Avanzi & Vincent Tu & Bernard Wong - 1-9 A Note on Health Insurance under Ex Post Moral Hazard
by Pierre Picard - 1-23 Frailty and Risk Classification for Life Annuity Portfolios
by Annamaria Olivieri & Ermanno Pitacco - 1-35 Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency
by Sascha Desmettre & Ralf Korn & Javier Alejandro Varela & Norbert Wehn
September 2016, Volume 4, Issue 4
- 1-8 Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof
by Chuancun Yin & Dan Zhu - 1-16 Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios
by Mélina Mailhot & Mhamed Mesfioui - 1-25 A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
by Marcos Escobar & Sven Panz
June 2016, Volume 4, Issue 3
- 1-12 An Optimal Turkish Private Pension Plan with a Guarantee Feature
by Ayşegül İşcanog̃lu-Çekiç - 1-31 Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model
by Philipp Harms & David Stefanovits & Josef Teichmann & Mario V. Wüthrich