Risks

2013 - 2025

Current editor(s): Mr. Claude Zhang

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Volume 8, issue 4, 2020

A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models pp. 1-31

Christa Cuchiero, Wahid Khosrawi and Josef Teichmann

Application of a Vine Copula for Multi-Line Insurance Reserving pp. 1-23

Himchan Jeong and Dipak Dey

Managing Meteorological Risk through Expected Shortfall pp. 1-23

Silvana Stefani, Gleda Kutrolli, Enrico Moretto and Sergei Kulakov

Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework pp. 1-23

Fadoua Zeddouk and Pierre Devolder

Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios pp. 1-23

Ahmed Hunjra, Suha Mahmoud Alawi, Sisira Colombage, Uroosa Sahito and Mahnoor Hanif

The Importance of Economic Variables on London Real Estate Market: A Random Forest Approach pp. 1-17

Susanna Levantesi and Gabriella Piscopo

Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks pp. 1-17

Maria Elvira Mancino and Simona Sanfelici

The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies pp. 1-17

Manuel Monge and Luis Gil-Alana

The Linear Link: Deriving Age-Specific Death Rates from Life Expectancy pp. 1-18

Marius D. Pascariu, Ugofilippo Basellini, José Manuel Aburto and Vladimir Canudas-Romo

A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network pp. 1-18

Stefano Martinazzi, Daniele Regoli and Andrea Flori

A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics pp. 1-18

Stefan Kremsner, Alexander Steinicke and Michaela Szölgyenyi

Pricing with Variance Gamma Information pp. 1-22

Lane P. Hughston and Leandro Sánchez-Betancourt

Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints pp. 1-22

Sascha Desmettre, Christian Laudagé and Jörn Sass

Corporate Governance and Cost of Capital: Evidence from Emerging Market pp. 1-29

Muhammad Yar Khan, Anam Javeed, Ly Kim Cuong and Ha Pham

Quantile Credibility Models with Common Effects pp. 1-10

Wei Wang, Limin Wen, Zhixin Yang and Quan Yuan

Grouped Normal Variance Mixtures pp. 1-26

Erik Hintz, Marius Hofert and Christiane Lemieux

First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses pp. 1-26

Şule Şahin, María del Carmen Boado-Penas, Corina Constantinescu, Julia Eisenberg, Kira Henshaw, Maoqi Hu, Jing Wang and Wei Zhu

New Families of Bivariate Copulas via Unit Lomax Distortion pp. 1-19

Fadal Abdullah-A Aldhufairi, Ranadeera G.M. Samanthi and Jungsywan H. Sepanski

Exploiting Distributional Temporal Difference Learning to Deal with Tail Risk pp. 1-20

Peter Bossaerts, Shijie Huang and Nitin Yadav

A Bayesian Internal Model for Reserve Risk: An Extension of the Correlated Chain Ladder pp. 1-20

Carnevale Giulio Ercole and Clemente Gian Paolo

Modeling County-Level Spatio-Temporal Mortality Rates Using Dynamic Linear Models pp. 1-15

Zoe Gibbs, Chris Groendyke, Brian Hartman and Robert Richardson

Observable Cyber Risk on Cournot Oligopoly Data Storage Markets pp. 1-15

Ulrik Franke and Amanda Hoxell

Operational Resilience Disclosures by Banks: Analysis of Annual Reports pp. 1-15

Martin Leo

Why to Buy Insurance? An Explainable Artificial Intelligence Approach pp. 1-9

Alex Gramegna and Paolo Giudici

Retirement Ages by Socio-Economic Class pp. 1-40

Séverine Arnold and Anca Jijiie

Determining Economic Security of a Business Based on Valuation of Intangible Assets according to the International Valuation Standards (IVS) pp. 1-14

Dmitrii Rodionov, Olesya Perepechko and Olga Nadezhina

Parisian Time of Reflected Brownian Motion with Drift on Rays and Its Application in Banking pp. 1-14

Angelos Dassios and Junyi Zhang

Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities pp. 1-14

Christopher Bayliss, Marti Serra, Armando Nieto and Angel A. Juan

Comparing Two Different Option Pricing Methods pp. 1-28

Alessandro Bondi, Dragana Radojičić and Thorsten Rheinländer

Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19 pp. 1-13

Muhsin Tamturk, Dominic Cortis and Mark Farrell

How Efficient Are Indian Banks in Managing the Risk-Return Trade-Off? An Empirical Analysis pp. 1-13

Jalaludeen Navas, Periyasamy Dhanavanthan and Daniel Lazar

Pricing, Risk and Volatility in Subordinated Market Models pp. 1-27

Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel

Determinants and Predictors of SMEs’ Financial Failure: A Logistic Regression Approach pp. 1-21

Youssef Zizi, Mohamed Oudgou and Abdeslam El Moudden

Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks pp. 1-21

Anne-Sophie Krah, Zoran Nikolić and Ralf Korn

Fiscal, Investment and Export Multipliers and the COVID-19 Pandemic Slowdowns Uncertainty Factor in the First Half of 2020 pp. 1-21

Arkadiusz J. Derkacz

Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions pp. 1-21

Maria Zoia, Gianmarco Vacca and Laura Barbieri

Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player pp. 1-21

Olivier Féron, Peter Tankov and Laura Tinsi

The Sustainability Factor: How Much Do Pension Expenditures Improve in Spain? pp. 1-21

Enrique Devesa, Mar Devesa, Inmaculada Dominguez-Fabián, Borja Encinas and Robert Meneu

Volume 8, issue 3, 2020

Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL pp. 1-21

Bernd Engelmann and Ha Pham

The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk pp. 1-27

Uditha Balasooriya, Johnny Siu-Hang Li and Jackie Li

Optimal Dividend Payment in De Finetti Models: Survey and New Results and Strategies pp. 1-27

Christian Hipp

Comparison of Home Advantage in European Football Leagues pp. 1-13

Patrice Marek and František Vávra

Address Identification Using Telematics: An Algorithm to Identify Dwell Locations pp. 1-12

Christopher Grumiau, Mina Mostoufi, Solon Pavlioglou and Tim Verdonck

How Does Split Announcement Affect Stock Liquidity? Evidence from Bursa Malaysia pp. 1-14

S. Amir Tabibian, Zhaoyong Zhang and Mohsen Jafarian

Hedging on Betting Markets pp. 1-14

Gustav Axén and Dominic Cortis

Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis pp. 1-14

Giuseppe Arbia, Riccardo Bramante and Silvia Facchinetti

Effect of Variance Swap in Hedging Volatility Risk pp. 1-34

Yang Shen

The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model pp. 1-15

Lorenzo Cerboni Baiardi, Massimo Costabile, Domenico De Giovanni, Fabio Lamantia, Arturo Leccadito, Ivar Massabó, Massimiliano Menzietti, Marco Pirra, Emilio Russo and Alessandro Staino

Neural Networks and Betting Strategies for Tennis pp. 1-19

Vincenzo Candila and Lucio Palazzo

Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data pp. 1-19

Rocco Roberto Cerchiara and Francesco Acri

A Note on Simulation Pricing of ? -Options pp. 1-19

Zbigniew Palmowski and Tomasz Serafin

A Longitudinal Analysis of the Impact of Distance Driven on the Probability of Car Accidents pp. 1-19

Jean-Philippe Boucher and Roxane Turcotte

Bank Risk Determinants in Latin America pp. 1-20

Mariña Martínez-Malvar and Laura Baselga-Pascual

Multivariate General Compound Point Processes in Limit Order Books pp. 1-20

Qi Guo, Bruno Remillard and Anatoliy Swishchuk

Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach pp. 1-16

Rizwan Ali, Inayat Ullah Mangla, Ramiz Ur Rehman, Wuzhao Xue, Muhammad Akram Naseem and Muhammad Ishfaq Ahmad

Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data pp. 1-16

Long Vo and Duc Hong Vo

Joshi’s Split Tree for Option Pricing pp. 1-26

Guillaume Leduc and Merima Nurkanovic Hot

Nagging Predictors pp. 1-26

Ronald Richman and Mario V. Wüthrich

Criminal Investigation and Criminal Intelligence: Example of Adaptation in the Prevention and Repression of Cybercrime pp. 1-10

Barlatier Jerome

Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk pp. 1-30

Jingnan Wang and Ralf Korn

Neural Network Pricing of American Put Options pp. 1-24

Raquel Gaspar, Sara D. Lopes and Bernardo Sequeira

A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics pp. 1-8

Arianna Agosto and Paolo Giudici

A Two-Population Extension of the Exponential Smoothing State Space Model with a Smoothing Penalisation Scheme pp. 1-18

Yanlin Shi, Sixian Tang and Jackie Li

Fiscal Responsibility Legal Framework—New Paradigm for Fiscal Discipline in the EU pp. 1-18

Mihaela Tofan, Mihaela Onofrei and Anca-Florentina Vatamanu

Deep Local Volatility pp. 1-18

Marc Chataigner, Stéphane Crépey and Matthew Dixon

Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model? pp. 1-11

Han Lin Shang and Steven Haberman

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities pp. 1-17

Steffen Volkenand, Günther Filler and Martin Odening

How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure pp. 1-17

Saswat Patra and Malay Bhattacharyya

Tail Risk Transmission: A Study of the Iran Food Industry pp. 1-17

Fatemeh Mojtahedi, Seyed Mojtaba Mojaverian, Daniel Felix Ahelegbey and Paolo Giudici

Variance and Interest Rate Risk in Unit-Linked Insurance Policies pp. 1-23

David Baños, Marc Lagunas-Merino and Salvador Ortiz-Latorre

EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking pp. 1-23

George Tzougas

Volume 8, issue 2, 2020

Special Issue “Machine Learning in Insurance” pp. 1-2

Vali Asimit, Ioannis Kyriakou and Jens Perch Nielsen

Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility pp. 1-15

Moawia Alghalith, Christos Floros and Konstantinos Gkillas

Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall? pp. 1-15

Marina Resta, Paolo Pagnottoni and Maria Elena De Giuli

Copula Model Selection for Vehicle Component Failures Based on Warranty Claims pp. 1-15

Kathryn Wifvat, John Kumerow and Arkady Shemyakin

Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana pp. 1-20

Prince Osei Mensah and Anokye M. Adam

A Raroc Valuation Scheme for Loans and Its Application in Loan Origination pp. 1-20

Bernd Engelmann and Ha Pham

Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets pp. 1-16

Duc Hong Vo, Minh Nguyen, Tan Manh Vo and Michael McAleer

Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction pp. 1-16

Xue-Feng Shao, Kostas Gouliamos, Ben Nan-Feng Luo, Shigeyuki Hamori, Stephen Satchell, Xiaoguang Yue and Jane Qiu

Risk and Policy Uncertainty on Stock–Bond Return Correlations: Evidence from the US Markets pp. 1-16

Thomas C. Chiang

Neural Networks for the Joint Development of Individual Payments and Claim Incurred pp. 1-34

Łukasz Delong and Mario V. Wüthrich

No-Arbitrage Principle in Conic Finance pp. 1-34

Mehdi Vazifedan and Qiji Jim Zhu

A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis pp. 1-14

José María Sarabia, Faustino Prieto, Vanesa Jordá and Stefan Sperlich

Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market pp. 1-14

Arianna Agosto and Alessia Cafferata

Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets pp. 1-14

Ahmed Hunjra, Tahar Tayachi, Rashid Mehmood, Sidra Malik and Zoya Malik

Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance pp. 1-13

Massimo Costabile and Fabio Viviano

A New Approach to Risk Attribution and Its Application in Credit Risk Analysis pp. 1-13

Christoph Frei

How Do Health, Care Services Consumption and Lifestyle Factors Affect the Choice of Health Insurance Plans in Switzerland? pp. 1-21

Veronika Kalouguina and Joël Wagner

Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution pp. 1-21

Franck Adékambi and Kokou Essiomle

Heads and Tails of Earnings Management: Quantitative Analysis in Emerging Countries pp. 1-21

Pavol Durana, Katarina Valaskova, Darina Chlebikova, Vladislav Krastev and Irina Atanasova

A Multivariate Model to Quantify and Mitigate Cybersecurity Risk pp. 1-21

Mark Bentley, Alec Stephenson, Peter Toscas and Zili Zhu

Systematic Risk at the Industry Level: A Case Study of Australia pp. 1-12

Thang Cong Nguyen, Tan Ngoc Vu, Duc Hong Vo and Michael McAleer

Towards an Economic Cyber Loss Index for Parametric Cover Based on IT Security Indicator: A Preliminary Analysis pp. 1-12

Eric Dal Moro

Die Hard: Probability of Default and Soft Information pp. 1-12

Giampaolo Gabbi, Michele Giammarino and Massimo Matthias

Hedging with Liquidity Risk under CEV Diffusion pp. 1-12

Sang-Hyeon Park and Kiseop Lee

Implementing the Rearrangement Algorithm: An Example from Computational Risk Management pp. 1-28

Marius Hofert

A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector pp. 1-22

Anna Denkowska and Stanisław Wanat

Bankruptcy Prediction and Stress Quantification Using Support Vector Machine: Evidence from Indian Banks pp. 1-22

Santosh Kumar Shrivastav and P. Janaki Ramudu

Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework pp. 1-18

Sandrine Gümbel and Thorsten Schmidt

How Does the Volatility of Volatility Depend on Volatility? pp. 1-18

Sigurd Emil Rømer and Rolf Poulsen

Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer’s Recursion pp. 1-31

Cordelia Rudolph and Uwe Schmock

A Bank Salvage Model by Impulse Stochastic Controls pp. 1-31

Francesco Giuseppe Cordoni, Luca Di Persio and Yilun Jiang

Deep Arbitrage-Free Learning in a Generalized HJM Framework via Arbitrage-Regularization pp. 1-30

Anastasis Kratsios and Cody Hyndman

Proactive Management of Regulatory Policy Ripple Effects via a Computational Hierarchical Change Management Structure pp. 1-29

Abdulrahman Alrabiah and Steve Drew

A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes pp. 1-29

Richard Chamboko and Jorge Bravo

Erratum: Hui Ye, Anthony Bellotti. Modelling Recovery Rates for Non-Performing Loans. Risks 7 (2019): 19 pp. 1-1

Hui Ye and Anthony Bellotti

Volume 8, issue 1, 2020

Acknowledgement to Reviewers of Risks in 2019 pp. 1-4

Risks Editorial Office

The Leaders, the Laggers, and the “Vulnerables” pp. 1-32

Veni Arakelian and Shatha Qamhieh Hashem

Pricing of Commodity Derivatives on Processes with Memory pp. 1-32

Fred Espen Benth, Asma Khedher and Michèle Vanmaele

Delta Boosting Implementation of Negative Binomial Regression in Actuarial Pricing pp. 1-21

Simon CK Lee

Variations of Particle Swarm Optimization for Obtaining Classification Rules Applied to Credit Risk in Financial Institutions of Ecuador pp. 1-14

Patricia Jimbo Santana, Laura Lanzarini and Aurelio Fernandez Bariviera

Lead Behaviour in Bitcoin Markets pp. 1-14

Ying Chen, Paolo Giudici, Branka Hadji Misheva and Simon Trimborn

Mean-Variance Optimization Is a Good Choice, But for Other Reasons than You Might Think pp. 1-16

Andrea Rigamonti

Longevity Risk Measurement of Life Annuity Products pp. 1-16

Pauline Milaure Ngugnie Diffouo and Pierre Devolder

Importance Sampling in the Presence of PD-LGD Correlation pp. 1-36

Adam Metzler and Alexandre Scott

A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums pp. 1-19

Emilio Gómez-Déniz and Enrique Calderín-Ojeda

A Comprehensive Stability Indicator for Banks pp. 1-15

Robert Powell and Duc H. Vo

CARL and His POT: Measuring Risks in Commodity Markets pp. 1-15

Bernardina Algieri and Arturo Leccadito

Risks Special Issue on “Granular Models and Machine Learning Models” pp. 1-2

Greg Taylor

Assessing Asset-Liability Risk with Neural Networks pp. 1-17

Patrick Cheridito, John Ery and Mario V. Wüthrich

In-Sample Hazard Forecasting Based on Survival Models with Operational Time pp. 1-17

Stephan M. Bischofberger

Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe pp. 1-23

Adam Marszk and Ewa Lechman

Portfolio Optimization under Correlation Constraint pp. 1-18

Aditya Maheshwari and Traian A. Pirvu

Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks pp. 1-18

Andrea Macrina and David Skovmand

Stochastic Mortality Modelling for Dependent Coupled Lives pp. 1-28

Kira Henshaw, Corina Constantinescu and Olivier Menoukeu Pamen

Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations pp. 1-33

Takaaki Koike and Marius Hofert

Modelling Unobserved Heterogeneity in Claim Counts Using Finite Mixture Models pp. 1-13

Lluís Bermúdez, Dimitris Karlis and Isabel Morillo

Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques pp. 1-27

Mathias Bärtl and Simone Krummaker

Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE pp. 1-20

David Allen and Michael McAleer

On Computations in Renewal Risk Models—Analytical and Statistical Aspects pp. 1-20

Josef Anton Strini and Stefan Thonhauser

Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model pp. 1-20

Alin Marius Andries and Elena Galasan

General Compound Hawkes Processes in Limit Order Books pp. 1-25

Anatoliy Swishchuk and Aiden Huffman

Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence pp. 1-25

Franck Adekambi and Essodina Takouda

General Conditions of Weak Convergence of Discrete-Time Multiplicative Scheme to Asset Price with Memory pp. 1-29

Yuliya Mishura, Kostiantyn Ralchenko and Sergiy Shklyar

Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model pp. 1-26

Ioannis Badounas and Georgios Pitselis

Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies pp. 1-79

Anne-Sophie Krah, Zoran Nikolić and Ralf Korn

A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model pp. 1-22

Emilio Russo