Risks

2013 - 2025

Current editor(s): Mr. Claude Zhang

From MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 7, issue 4, 2019

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 pp. 1-24

Florin Avram, Andras Horváth, Serge Provost and Ulyses Solon

A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance pp. 1-18

Angelos Dassios, Jiwook Jang and Hongbiao Zhao

Credit Risk Migration and Economic Cycles pp. 1-18

Camilla Ferretti, Giampaolo Gabbi, Piero Ganugi, Federica Sist and Pietro Vozzella

High Frequency Price Change Spillovers in Bitcoin Markets pp. 1-18

Paolo Giudici and Paolo Pagnottoni

Conditional Variance Forecasts for Long-Term Stock Returns pp. 1-22

Enno Mammen, Jens Perch Nielsen, Michael Scholz and Stefan Sperlich

Omnichannel Banking Economy pp. 1-11

Sergey A. Vasiliev and Eugene R. Serov

A New Heavy Tailed Class of Distributions Which Includes the Pareto pp. 1-17

Deepesh Bhati, Enrique Calderín-Ojeda and Mareeswaran Meenakshi

Social Security Benefit Valuation, Risk, and Optimal Retirement pp. 1-31

Yassmin Ali, Ming Fang, Pablo A. Arrutia Sota, Stephen Taylor and Xun Wang

On Market Share Drivers in the Swiss Mandatory Health Insurance Sector pp. 1-25

Dalit Daily-Amir, Hansjörg Albrecher, Martin Bladt and Joël Wagner

Three Essays on Stopping pp. 1-10

Eberhard Mayerhofer

A Study on Global Investors’ Criteria for Investment in the Local Currency Bond Markets Using AHP Methods: The Case of the Republic of Korea pp. 1-20

Jae Young Jang and Min Jae Park

A Likelihood Approach to Bornhuetter–Ferguson Analysis pp. 1-20

Valandis Elpidorou, Carolin Margraf, María Dolores Martínez-Miranda and Bent Nielsen

The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters pp. 1-15

Elie Bouri

On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the ?CoVaR Measures pp. 1-15

Wided Khiari and Salim Ben Sassi

Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds? pp. 1-16

Xiaoyi Shen, Albert Tsui and Zhaoyong Zhang

Option Implied Stock Buy-Side and Sell-Side Market Depths pp. 1-16

Feng-Tse Tsai

Developing an Impairment Loss Given Default Model Using Weighted Logistic Regression Illustrated on a Secured Retail Bank Portfolio pp. 1-16

Douw Gerbrand Breed, Tanja Verster, Willem D. Schutte and Naeem Siddiqi

Claim Watching and Individual Claims Reserving Using Classification and Regression Trees pp. 1-36

Massimo De Felice and Franco Moriconi

Credit Valuation Adjustment Compression by Genetic Optimization pp. 1-21

Marc Chataigner and Stéphane Crépey

Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes pp. 1-21

Qiyue He and Anatoliy Swishchuk

A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems pp. 1-21

Florin Avram and Jose-Luis Perez-Garmendia

Market Risk Analysis of Energy in Vietnam pp. 1-13

Ngoc Phu Tran, Thang Cong Nguyen, Duc Hong Vo and Michael McAleer

Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims pp. 1-14

Hansjörg Albrecher and Eleni Vatamidou

Aggregation of Incidence and Intensity Risk Variables to Achieve Reconciliation pp. 1-14

Clive Hunt and Ross Taplin

Tail Dependence in Financial Markets: A Dynamic Copula Approach pp. 1-14

Federico Pasquale Cortese

The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps pp. 1-9

Florin Avram, Dan Goreac and Jean-François Renaud

Volume 7, issue 3, 2019

Special Issue “Risk, Ruin and Survival: Decision Making in Insurance and Finance” pp. 1-7

Jiandong Ren, Kristina Sendova and Ričardas Zitikis

Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification pp. 1-27

Prayut Jain and Shashi Jain

Persistence of Bank Credit Default Swap Spreads pp. 1-13

Xin Huang

An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages pp. 1-21

Dan Cheng and Pasquale Cirillo

Logarithmic Asymptotics for Probability of Component-Wise Ruin in a Two-Dimensional Brownian Model pp. 1-21

Krzysztof Dȩbicki, Lanpeng Ji and Tomasz Rolski

DeepTriangle: A Deep Learning Approach to Loss Reserving pp. 1-12

Kevin Kuo

Nash Bargaining Over Margin Loans to Kelly Gamblers pp. 1-14

Alexander Garivaltis

Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation pp. 1-20

Nader Trabelsi and Aviral Tiwari

Drivers of Old-Age Dependence and Long-Term Care Usage in Switzerland—A Structural Equation Model Approach pp. 1-20

Iegor Rudnytskyi and Joël Wagner

Bankruptcy Risk, Its Financial Determinants and Reporting Delays: Do Managers Have Anything to Hide? pp. 1-15

Oliver Lukason and María-del-Mar Camacho-Miñano

Optimal Risk Budgeting under a Finite Investment Horizon pp. 1-15

Marcos López de Prado, Ralph Vince and Qiji Jim Zhu

On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes pp. 1-15

Pavel V. Gapeev, Neofytos Rodosthenous and V. L. Raju Chinthalapati

LIBOR Fallback and Quantitative Finance pp. 1-15

Marc Henrard

Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance pp. 1-41

Jason S. Anquandah and Leonid V. Bogachev

Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment pp. 1-29

Antonio Pallaria and Nino Savelli

The Time-Spatial Dimension of Eurozone Banking Systemic Risk pp. 1-25

Matteo Foglia and Eliana Angelini

Hospital Proximity and Mortality in Australia pp. 1-24

Andrew Leung

Individual Loss Reserving Using a Gradient Boosting-Based Approach pp. 1-18

Francis Duval and Mathieu Pigeon

Loss Reserving Models: Granular and Machine Learning Forms pp. 1-18

Greg Taylor

Liquidity Risk Drivers and Bank Business Models pp. 1-18

Simona Galletta and Sebastiano Mazzù

Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures pp. 1-18

Hans Rau-Bredow

Coherent-Price Systems and Uncertainty-Neutral Valuation pp. 1-18

Patrick Beissner

On the Validation of Claims with Excess Zeros in Liability Insurance: A Comparative Study pp. 1-17

Marjan Qazvini

Parametric Conditions of High Financial Risk in the SME Sector pp. 1-17

Beata Ślusarczyk and Katarzyna Grondys

De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes pp. 1-11

Jean-François Renaud

Quantile Regression with Telematics Information to Assess the Risk of Driving above the Posted Speed Limit pp. 1-11

Ana M. Pérez-Marín, Montserrat Guillen, Manuela Alcañiz and Lluís Bermúdez

Potential Densities for Taxed Spectrally Negative Lévy Risk Processes pp. 1-11

Wenyuan Wang and Xiaowen Zhou

Penalising Unexplainability in Neural Networks for Predicting Payments per Claim Incurred pp. 1-11

Jacky H. L. Poon

Volume 7, issue 2, 2019

Defining Geographical Rating Territories in Auto Insurance Regulation by Spatially Constrained Clustering pp. 1-20

Shengkun Xie

Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement pp. 1-20

Francesca Greselin, Fabio Piacenza and Ričardas Zitikis

American Options on High Dividend Securities: A Numerical Investigation pp. 1-20

Francesco Rotondi

Analysis of Stochastic Reserving Models By Means of NAIC Claims Data pp. 1-27

László Martinek

Generalized Multiplicative Risk Apportionment pp. 1-9

Hongxia Wang

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

Rokas Gylys and Jonas Šiaulys

A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach pp. 1-31

Stanislaus Maier-Paape, Andreas Platen and Qiji Jim Zhu

The Population Accuracy Index: A New Measure of Population Stability for Model Monitoring pp. 1-11

Ross Taplin and Clive Hunt

Asymptotically Normal Estimators of the Ruin Probability for Lévy Insurance Surplus from Discrete Samples pp. 1-22

Yasutaka Shimizu and Zhimin Zhang

Treatment Level and Store Level Analyses of Healthcare Data pp. 1-22

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

Rafał Wójcik, Charlie Wusuo Liu and Jayanta Guin

The Investigation of a Forward-Rate Mortality Framework pp. 1-22

Daniel H. Alai, Katja Ignatieva and Michael Sherris

Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model pp. 1-22

Ioannis Anagnostou and Drona Kandhai

A Renewal Shot Noise Process with Subexponential Shot Marks pp. 1-8

Yiqing Chen

Mortality Projections for Small Populations: An Application to the Maltese Elderly pp. 1-25

Massimiliano Menzietti, Maria Morabito and Manuela Stranges

Pricing of Longevity Derivatives and Cost of Capital pp. 1-29

Fadoua Zeddouk and Pierre Devolder

Spatial Risk Measures and Rate of Spatial Diversification pp. 1-26

Erwan Koch

Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions pp. 1-16

Vytaras Brazauskas and Sahadeb Upretee

Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem pp. 1-16

Emilio Gómez-Déniz, José María Sarabia and Enrique Calderín-Ojeda

Predicting Motor Insurance Claims Using Telematics Data—XGBoost versus Logistic Regression pp. 1-16

Jessica Pesantez-Narvaez, Montserrat Guillen and Manuela Alcañiz

Contingent Convertible Debt: The Impact on Equity Holders pp. 1-35

Delphine Boursicot, Geneviève Gauthier and Farhad Pourkalbassi

Recent Regulation in Credit Risk Management: A Statistical Framework pp. 1-19

Logan Ewanchuk and Christoph Frei

Measuring and Allocating Systemic Risk pp. 1-19

Markus Brunnermeier and Patrick Cheridito

The Determinants of Market-Implied Recovery Rates pp. 1-15

Pascal François

Bank Competition in India: Some New Evidence Using Risk-Adjusted Lerner Index Approach pp. 1-12

Rakesh Arrawatia, Arun Misra, Varun Dawar and Debasish Maitra

Experience Prospective Life-Tables for the Algerian Retirees pp. 1-21

Farid Flici and Frédéric Planchet

Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model pp. 1-14

Jean-Philippe Aguilar and Jan Korbel

Statistical Inference for the Beta Coefficient pp. 1-14

Taras Bodnar, Arjun K. Gupta, Valdemar Vitlinskyi and Taras Zabolotskyy

Default Ambiguity pp. 1-17

Tolulope Fadina and Thorsten Schmidt

Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models pp. 1-23

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

Søren Asmussen, Bent Jesper Christensen and Julie Thøgersen

Credit Risk Assessment Model for Small and Micro-Enterprises: The Case of Lithuania pp. 1-23

Rasa Kanapickiene and Renatas Spicas

Sound Deposit Insurance Pricing Using a Machine Learning Approach pp. 1-18

Hirbod Assa, Mostafa Pouralizadeh and Abdolrahim Badamchizadeh

Smallholder Farmers’ Willingness to Pay for Agricultural Production Cost Insurance in Rural West Java, Indonesia: A Contingent Valuation Method (CVM) Approach pp. 1-18

Dadang Jainal Mutaqin and Koichi Usami

Imbalance Market Real Options and the Valuation of Storage in Future Energy Systems pp. 1-30

John Moriarty and Jan Palczewski

The Optimum Leverage Level of the Banking Sector pp. 1-30

Sagara Dewasurendra, Pedro Judice and Qiji Zhu

Volume 7, issue 1, 2019

An Innovative Framework for Risk Management in Construction Projects in Developing Countries: Evidence from Pakistan pp. 1-10

Ahsan Nawaz, Ahsan Waqar, Syyed Adnan Raheel Shah, Muhammad Sajid and Muhammad Irslan Khalid

Market Risk and Financial Performance of Non-Financial Companies Listed on the Moroccan Stock Exchange pp. 1-29

Diby Francois Kassi, Dilesha Rathnayake, Pierre Axel Louembe and Ning Ding

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives pp. 1-25

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

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

Paolo Giudici and Laura Parisi

Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH pp. 1-23

Ravi Summinga-Sonagadu and Jason Narsoo

Modelling Recovery Rates for Non-Performing Loans pp. 1-17

Hui Ye and Anthony Bellotti

Efficient Retirement Portfolios: Using Life Insurance to Meet Income and Bequest Goals in Retirement pp. 1-11

Fangyuan Dong, Nick Halen, Kristen Moore and Qinglai Zeng

Pricing Options and Computing Implied Volatilities using Neural Networks pp. 1-22

Shuaiqiang Liu, Cornelis Oosterlee and Sander M. Bohte

Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits pp. 1-22

Søren Asmussen, Patrick Laub and Hailiang Yang

Credible Regression Approaches to Forecast Mortality for Populations with Limited Data pp. 1-22

Apostolos Bozikas and Georgios Pitselis

Machine Learning in Banking Risk Management: A Literature Review pp. 1-22

Martin Leo, Suneel Sharma and K. Maddulety

On Double Value at Risk pp. 1-22

Wanbing Zhang, Sisi Zhang and Peibiao Zhao

Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM pp. 1-18

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

Mansi Jain, Gagan Sharma and Mrinalini Srivastava

Dealing with Drift Uncertainty: A Bayesian Learning Approach pp. 1-18

Carmine De Franco, Johann Nicolle and Huyên Pham

Convolutional Neural Network Classification of Telematics Car Driving Data pp. 1-18

Guangyuan Gao and Mario V. Wüthrich

An Object-Oriented Bayesian Framework for the Detection of Market Drivers pp. 1-18

Maria Elena De Giuli, Alessandro Greppi and Marina Resta

Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint pp. 1-24

Mauricio Junca, Harold Moreno-Franco and José Luis Pérez

Multivariate Risk-Neutral Pricing of Reverse Mortgages under the Bayesian Framework pp. 1-12

Jackie Li, Atsuyuki Kogure and Jia Liu

Surplus Sharing with Coherent Utility Functions pp. 1-12

Delia Coculescu and Freddy Delbaen

Optimal Portfolio Selection in an Itô–Markov Additive Market pp. 1-32

Zbigniew Palmowski, Łukasz Stettner and Anna Sulima

Acknowledgement to Reviewers of Risks in 2018 pp. 1-4

Risks Editorial Office

An Indexation Mechanism for Retirement Age: Analysis of the Gender Gap pp. 1-13

Mariarosaria Coppola, Maria Russolillo and Rosaria Simone

The OFR Financial Stress Index pp. 1-21

Phillip J. Monin

Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II pp. 1-21

Fabien Le Floc’h and Cornelis Oosterlee

A Deep Learning Integrated Lee–Carter Model pp. 1-16

Andrea Nigri, Susanna Levantesi, Mario Marino, Salvatore Scognamiglio and Francesca Perla

Measuring Equity Share Related Risk Perception of Investors in Economically Backward Regions pp. 1-20

Ranjit Singh and Jayashree Bhattacharjee

Determining Distribution for the Product of Random Variables by Using Copulas pp. 1-20

Sel Ly, Kim-Hung Pho, Sal Ly and Wing-Keung Wong

Using Neural Networks to Price and Hedge Variable Annuity Guarantees pp. 1-19

Daniel Doyle and Chris Groendyke

Application of Machine Learning to Mortality Modeling and Forecasting pp. 1-19

Susanna Levantesi and Virginia Pizzorusso

The W, Z / ?, ? Paradigm for the First Passage of Strong Markov Processes without Positive Jumps pp. 1-15

Florin Avram, Danijel Grahovac and Ceren Vardar-Acar

Mortality Forecasting: How Far Back Should We Look in Time? pp. 1-15

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

Zhuo Jin, Zhixin Yang and Quan Yuan