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Risks

2013 - 2019

Current editor(s): Prof. Dr. J. David Cummins

From MDPI, Open Access Journal
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Volume 7, issue 2, 2019

Experience Prospective Life-Tables for the Algerian Retirees pp. 1-21 Downloads
Farid Flici and Frédéric Planchet
Contingent Convertible Debt: The Impact on Equity Holders pp. 1-35 Downloads
Delphine Boursicot, Geneviève Gauthier and Farhad Pourkalbassi
Pricing of Longevity Derivatives and Cost of Capital pp. 1-29 Downloads
Fadoua Zeddouk and Pierre Devolder
Revisiting Calibration of the Solvency II Standard Formula for Mortality Risk: Does the Standard Stress Scenario Provide an Adequate Approximation of Value-at-Risk? pp. 1-24 Downloads
Rokas Gylys and Jonas Šiaulys
Bank Competition in India: Some New Evidence Using Risk-Adjusted Lerner Index Approach pp. 1-12 Downloads
Rakesh Arrawatia, Arun Misra, Varun Dawar and Debasish Maitra
Defining Geographical Rating Territories in Auto Insurance Regulation by Spatially Constrained Clustering pp. 1-20 Downloads
Shengkun Xie
Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement pp. 1-20 Downloads
Francesca Greselin, Fabio Piacenza and Ričardas Zitikis
American Options on High Dividend Securities: A Numerical Investigation pp. 1-20 Downloads
Francesco Rotondi
Recent Regulation in Credit Risk Management: A Statistical Framework pp. 1-19 Downloads
Logan Ewanchuk and Christoph Frei
Measuring and Allocating Systemic Risk pp. 1-19 Downloads
Markus Brunnermeier and Patrick Cheridito
The Determinants of Market-Implied Recovery Rates pp. 1-15 Downloads
Pascal François
Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models pp. 1-23 Downloads
Matteo Brachetta and Claudia Ceci
Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation pp. 1-23 Downloads
Søren Asmussen, Bent Jesper Christensen and Julie Thøgersen
Asymptotically Normal Estimators of the Ruin Probability for Lévy Insurance Surplus from Discrete Samples pp. 1-22 Downloads
Yasutaka Shimizu and Zhimin Zhang
Treatment Level and Store Level Analyses of Healthcare Data pp. 1-22 Downloads
Kaiwen Wang, Jiehui Ding, Kristen R. Lidwell, Scott Manski, Gee Y. Lee and Emilio Xavier Esposito
Direct and Hierarchical Models for Aggregating Spatially Dependent Catastrophe Risks pp. 1-22 Downloads
Rafał Wójcik, Charlie Wusuo Liu and Jayanta Guin
Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions pp. 1-16 Downloads
Vytaras Brazauskas and Sahadeb Upretee
Mortality Projections for Small Populations: An Application to the Maltese Elderly pp. 1-25 Downloads
Massimiliano Menzietti, Maria Francesca Morabito and Manuela Stranges
Imbalance Market Real Options and the Valuation of Storage in Future Energy Systems pp. 1-30 Downloads
John Moriarty and Jan Palczewski
The Optimum Leverage Level of the Banking Sector pp. 1-30 Downloads
Sagara Dewasurendra, Pedro Judice and Qiji Zhu
Sound Deposit Insurance Pricing Using a Machine Learning Approach pp. 1-18 Downloads
Hirbod Assa, Mostafa Pouralizadeh and Abdolrahim Badamchizadeh
Spatial Risk Measures and Rate of Spatial Diversification pp. 1-26 Downloads
Erwan Koch
The Population Accuracy Index: A New Measure of Population Stability for Model Monitoring pp. 1-11 Downloads
Ross Taplin and Clive Hunt
Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model pp. 1-14 Downloads
Jean-Philippe Aguilar and Jan Korbel
Statistical Inference for the Beta Coefficient pp. 1-14 Downloads
Taras Bodnar, Arjun K. Gupta, Valdemar Vitlinskyi and Taras Zabolotskyy

Volume 7, issue 1, 2019

Optimal Portfolio Selection in an Itô–Markov Additive Market pp. 1-32 Downloads
Zbigniew Palmowski, Łukasz Stettner and Anna Sulima
The OFR Financial Stress Index pp. 1-21 Downloads
Phillip J. Monin
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II pp. 1-21 Downloads
Fabien Le Floc’h and Cornelis W. Oosterlee
Market Risk and Financial Performance of Non-Financial Companies Listed on the Moroccan Stock Exchange pp. 1-29 Downloads
Diby François Kassi, Dilesha Rathnayake, Pierre Axel Louembe and Ning Ding
Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint pp. 1-24 Downloads
Mauricio Junca, Harold A. Moreno-Franco and José Luis Pérez
An Innovative Framework for Risk Management in Construction Projects in Developing Countries: Evidence from Pakistan pp. 1-10 Downloads
Ahsan Nawaz, Ahsan Waqar, Syyed Adnan Raheel Shah, Muhammad Sajid and Muhammad Irslan Khalid
Multivariate Risk-Neutral Pricing of Reverse Mortgages under the Bayesian Framework pp. 1-12 Downloads
Jackie Li, Atsuyuki Kogure and Jia Liu
Surplus Sharing with Coherent Utility Functions pp. 1-12 Downloads
Delia Coculescu and Freddy Delbaen
Measuring Equity Share Related Risk Perception of Investors in Economically Backward Regions pp. 1-20 Downloads
Ranjit Singh and Jayashree Bhattacharjee
Determining Distribution for the Product of Random Variables by Using Copulas pp. 1-20 Downloads
Sel Ly, Kim-Hung Pho, Sal Ly and Wing-Keung Wong
Modelling Recovery Rates for Non-Performing Loans pp. 1-17 Downloads
Hui Ye and Anthony Bellotti
Using Neural Networks to Price and Hedge Variable Annuity Guarantees pp. 1-19 Downloads
Daniel Doyle and Chris Groendyke
Application of Machine Learning to Mortality Modeling and Forecasting pp. 1-19 Downloads
Susanna Levantesi and Virginia Pizzorusso
The W, Z / ν, δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps pp. 1-15 Downloads
Florin Avram, Danijel Grahovac and Ceren Vardar-Acar
Mortality Forecasting: How Far Back Should We Look in Time? pp. 1-15 Downloads
Han Li and Colin O’Hare
A Genetic Algorithm for Investment–Consumption Optimization with Value-at-Risk Constraint and Information-Processing Cost pp. 1-15 Downloads
Zhuo Jin, Zhixin Yang and Quan Yuan
Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH pp. 1-23 Downloads
Ravi Summinga-Sonagadu and Jason Narsoo
Pricing Options and Computing Implied Volatilities using Neural Networks pp. 1-22 Downloads
Shuaiqiang Liu, Cornelis W. Oosterlee and Sander M. Bohte
Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits pp. 1-22 Downloads
Søren Asmussen, Patrick J. Laub and Hailiang Yang
Credible Regression Approaches to Forecast Mortality for Populations with Limited Data pp. 1-22 Downloads
Apostolos Bozikas and Georgios Pitselis
Machine Learning in Banking Risk Management: A Literature Review pp. 1-22 Downloads
Martin Leo, Suneel Sharma and K. Maddulety
On Double Value at Risk pp. 1-22 Downloads
Wanbing Zhang, Sisi Zhang and Peibiao Zhao
An Indexation Mechanism for Retirement Age: Analysis of the Gender Gap pp. 1-13 Downloads
Mariarosaria Coppola, Maria Russolillo and Rosaria Simone
A Deep Learning Integrated Lee–Carter Model pp. 1-16 Downloads
Andrea Nigri, Susanna Levantesi, Mario Marino, Salvatore Scognamiglio and Francesca Perla
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives pp. 1-25 Downloads
Man Chung Fung, Katja Ignatieva and Michael Sherris
CEO Overconfidence and Shadow-Banking Life Insurer Performance Under Government Purchases of Distressed Assets pp. 1-25 Downloads
Shi Chen, Jyh-Horng Lin, Wenyu Yao and Fu-Wei Huang
Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution pp. 1-25 Downloads
Paolo Giudici and Laura Parisi
Acknowledgement to Reviewers of Risks in 2018 pp. 1-4 Downloads
Risks Editorial Office
Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM pp. 1-18 Downloads
Rui Zhou, Guangyu Xing and Min Ji
Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices pp. 1-18 Downloads
Mansi Jain, Gagan Deep Sharma and Mrinalini Srivastava
Dealing with Drift Uncertainty: A Bayesian Learning Approach pp. 1-18 Downloads
Carmine De Franco, Johann Nicolle and Huyên Pham
Convolutional Neural Network Classification of Telematics Car Driving Data pp. 1-18 Downloads
Guangyuan Gao and Mario V. Wüthrich
An Object-Oriented Bayesian Framework for the Detection of Market Drivers pp. 1-18 Downloads
Maria Elena De Giuli, Alessandro Greppi and Marina Resta
Efficient Retirement Portfolios: Using Life Insurance to Meet Income and Bequest Goals in Retirement pp. 1-11 Downloads
Fangyuan Dong, Nick Halen, Kristen Moore and Qinglai Zeng
Page updated 2019-05-25