Risks

2013 - 2025

Current editor(s): Mr. Claude Zhang

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Volume 6, issue 4, 2018

Risk of Bankruptcy, Its Determinants and Models pp. 1-22

Jarmila Horváthová and Martina Mokrišová

Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia pp. 1-22

Robert Powell, Duc H. Vo and Thach Pham

Long Run Returns Predictability and Volatility with Moving Averages pp. 1-18

Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer

A Robust General Multivariate Chain Ladder Method pp. 1-18

Kris Peremans, Stefan Van Aelst and Tim Verdonck

Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis pp. 1-11

Angelo Corelli

Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models pp. 1-11

Chengbo Fu

Towards a Topological Representation of Risks and Their Measures pp. 1-11

Tomer Shushi

Effects of the Age Process on Aggregate Discounted Claims pp. 1-17

Ghislain Léveillé, Ilie-Radu Mitric and Victor Côté

Peer-To-Peer Lending: Classification in the Loan Application Process pp. 1-17

Xinyuan Wei, Jun-ya Gotoh and Stan Uryasev

Memory, Risk Aversion, and Nonlife Insurance Consumption: Evidence from Emerging and Developing Markets pp. 1-17

Ashu Tiwari and Archana Patro

The Fundamental Equity Premium and Ambiguity Aversion in an International Context pp. 1-24

Minh Hai Ngo, Marc Oliver Rieger and Shuonan Yuan

The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network pp. 1-24

Abdul-Aziz Ibn Musah, Jianguo Du, Hira Salah Ud din Khan and Alhassan Alolo Abdul-Rasheed Akeji

Overdispersed-Poisson Model in Claims Reserving: Closed Tool for One-Year Volatility in GLM Framework pp. 1-24

Stefano Cavastracci Strascia and Agostino Tripodi

A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection pp. 1-26

Xin Liu, Jiang Wu, Chen Yang and Wenjun Jiang

RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan pp. 1-26

Fengming Qin, Junru Zhang and Zhaoyong Zhang

Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data pp. 1-26

Marie Angèle Cathleen Alijean and Jason Narsoo

Modeling Financial System with Interbank Flows, Borrowing, and Investing pp. 1-26

Aditya Maheshwari and Andrey Sarantsev

Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets pp. 1-26

Tihana Škrinjarić

Bond Yields, Sovereign Risk and Maturity Structure pp. 1-25

Marcos González-Fernández and Carmen González-Velasco

The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns pp. 1-42

Jung-Bin Su and Jui-Cheng Hung

Measures of Efficiency of Agricultural Insurance in Italy, Economic Evaluations pp. 1-19

Fabian Capitanio and Antonio De Pin

A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs pp. 1-15

Phong Luu, Jingzhi Tie and Qing Zhang

Business Distress Prediction Using Bayesian Logistic Model for Indian Firms pp. 1-15

Arvind Shrivastava, Kuldeep Kumar and Nitin Kumar

New Insights on Hedge Ratios in the Presence of Stochastic Transaction Costs pp. 1-15

Elisson Andrade, Fabio Mattos and Roberto Arruda de Souza Lima

Robust Estimations for the Tail Index of Weibull-Type Distribution pp. 1-15

Chengping Gong and Chengxiu Ling

Generating VaR Scenarios under Solvency II with Product Beta Distributions pp. 1-15

Dietmar Pfeifer and Olena Ragulina

Perpetual American Defaultable Options in Models with Random Dividends and Partial Information pp. 1-15

Pavel V. Gapeev and Hessah Al Motairi

Target Matrix Estimators in Risk-Based Portfolios pp. 1-20

Marco Neffelli

On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate pp. 1-16

Chen Li and Xiaohu Li

On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets pp. 1-16

Vincenzo Candila and Salvatore Farace

Firm’s Credit Risk in the Presence of Market Structural Breaks pp. 1-16

Haipeng Xing and Yang Yu

Credibility Methods for Individual Life Insurance pp. 1-16

Yikai (Maxwell) Gong, Zhuangdi Li, Maria Milazzo, Kristen Moore and Matthew Provencher

Hedge or Rebalance: Optimal Risk Management with Transaction Costs pp. 1-14

Florent Gallien, Serge Kassibrakis and Semyon Malamud

Measurement of Systemic Risk in a Common European Union Risk-Based Deposit Insurance System: Formal Necessity or Value-Adding Process? pp. 1-21

Aida Barkauskaite, Ausrine Lakstutiene and Justyna Witkowska

National Culture and Corporate Rating Migrations pp. 1-27

Huong Dieu Dang

Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds pp. 1-27

Christina Erlwein-Sayer

Three Different Ways Synchronization Can Cause Contagion in Financial Markets pp. 1-13

Naji Massad and Jørgen Vitting Andersen

Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments pp. 1-13

Sooie-Hoe Loke and Enrique Thomann

Firm’s Risk-Return Association Facets and Prospect Theory Findings—An Emerging versus Developed Country Context pp. 1-32

Ranjan Das Gupta and Rajesh Pathak

Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate pp. 1-12

Hongmin Xiao and Lin Xie

On the Failure to Reach the Optimal Government Debt Ceiling pp. 1-28

Abel Cadenillas and Ricardo Huaman

A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations pp. 1-28

Matthias Fischer, Thorsten Moser and Marius Pfeuffer

Volume 6, issue 3, 2018

One-Year Change Methodologies for Fixed-Sum Insurance Contracts pp. 1-29

Michel Dacorogna, Alessandro Ferriero and David Krief

Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance pp. 1-25

Kristian Buchardt and Thomas Møller

Extreme Portfolio Loss Correlations in Credit Risk pp. 1-25

Andreas Mühlbacher and Thomas Guhr

A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures pp. 1-31

Stanislaus Maier-Paape and Qiji Jim Zhu

A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model pp. 1-11

Nadezhda Gribkova and Ričardas Zitikis

A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model pp. 1-11

Mohamed Amine Lkabous and Jean-François Renaud

Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach pp. 1-22

Adnen Ben Nasr, Juncal Cunado, Riza Demirer and Rangan Gupta

Fluctuation Theory for Upwards Skip-Free Lévy Chains pp. 1-24

Matija Vidmar

Linear Regression for Heavy Tails pp. 1-70

Guus Balkema and Paul Embrechts

Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint pp. 1-13

Frédéric Vrins

The Stability of the Aggregate Loss Distribution pp. 1-13

Riccardo Gatto

On the Basel Liquidity Formula for Elliptical Distributions pp. 1-13

Janine Balter and Alexander J. McNeil

Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund? pp. 1-27

Edouard Debonneuil, Anne Eyraud-Loisel and Frédéric Planchet

Calendar Spread Exchange Options Pricing with Gaussian Random Fields pp. 1-33

Donatien Hainaut

General Quantile Time Series Regressions for Applications in Population Demographics pp. 1-47

Gareth W. Peters

The Impact of Management Fees on the Pricing of Variable Annuity Guarantees pp. 1-20

Jin Sun, Pavel V. Shevchenko and Man Chung Fung

On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance pp. 1-20

Vadim Semenikhine, Edward Furman and Jianxi Su

Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance pp. 1-20

Martin Ewen

Bootstrapping Average Value at Risk of Single and Collective Risks pp. 1-30

Eric Beutner and Henryk Zähle

Hierarchical Markov Model in Life Insurance and Social Benefit Schemes pp. 1-17

Jiwook Jang and Siti Norafidah Mohd Ramli

Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models pp. 1-17

Fouad Marri, Franck Adekambi and Khouzeima Moutanabbir

Mean Field Game with Delay: A Toy Model pp. 1-17

Jean-Pierre Fouque and Zhaoyu Zhang

A Quantum-Type Approach to Non-Life Insurance Risk Modelling pp. 1-17

Claude Lefèvre, Stéphane Loisel, Muhsin Tamturk and Sergey Utev

Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility † pp. 1-54

Giuseppe Montesi and Giovanni Papiro

Log-Normal or Over-Dispersed Poisson? pp. 1-37

Jonas Harnau

Association Rules for Understanding Policyholder Lapses pp. 1-18

Himchan Jeong, Guojun Gan and Emiliano A. Valdez

Surrender Risk in the Context of the Quantitative Assessment of Participating Life Insurance Contracts under Solvency II pp. 1-38

Tobias Burkhart

Health Insurance in Myanmar: The Views and Perception of Healthcare Consumers and Health System Informants on the Establishment of a Nationwide Health Insurance System pp. 1-14

Marjolein Van Rooijen, Chaw-Yin Myint, Milena Pavlova and Wim Groot

On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform pp. 1-14

Raluca Vernic

Optimum Technology Product Life Cycle Technology Innovation Investment-Using Compound Binomial Options pp. 1-14

Chuan-Chuan Ko, Tyrone Lin, Fu-Min Zeng and Chien-Yu Liu

Systemic Risk and Insurance Regulation † pp. 1-12

Fabiana Gómez and Jorge Ponce

The Interaction of Borrower and Loan Characteristics in Predicting Risks of Subprime Automobile Loans pp. 1-21

Yaseen Ghulam, Kamini Dhruva, Sana Naseem and Sophie Hill

Bayesian Adjustment for Insurance Misrepresentation in Heavy-Tailed Loss Regression pp. 1-16

Michelle Xia

The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe pp. 1-16

Jatin Malhotra and Angelo Corelli

Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions pp. 1-19

Guojun Gan

The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates pp. 1-19

Holger Fink, Andreas Fuest and Henry Port

CoRisk: Credit Risk Contagion with Correlation Network Models pp. 1-19

Paolo Giudici and Laura Parisi

Masked Instability: Within-Sector Financial Risk in the Presence of Wealth Inequality pp. 1-15

Youngna Choi

Company Value with Ruin Constraint in Lundberg Models pp. 1-15

Christian Hipp

On Fund Mapping Regressions Applied to Segregated Funds Hedging Under Regime-Switching Dynamics pp. 1-15

Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel

Some Results on Measures of Interaction between Paired Risks pp. 1-15

Rui Fang and Xiaohu Li

Volume 6, issue 2, 2018

The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase pp. 1-16

Xiaoyi Zhang and Junyi Guo

Under What Conditions Do Rules-Based and Capability-Based Management Modes Dominate? pp. 1-16

Lukas Michel, Johanna Anzengruber, Marco Wölfle and Nick Hixson

How Does Distress Acquisition Incentivized by Government Purchases of Distressed Loans Affect Bank Default Risk? pp. 1-16

Jyh-Jiuan Lin, Chuen-Ping Chang and Shi Chen

Active Management of Operational Risk in the Regimes of the “Unknown”: What Can Machine Learning or Heuristics Deliver? pp. 1-16

Udo Milkau and Jürgen Bott

Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review pp. 1-16

Marco Bee and Luca Trapin

Volatility Is Log-Normal—But Not for the Reason You Think pp. 1-16

Martin Tegnér and Rolf Poulsen

On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment pp. 1-16

Shuanming Li and Yi Lu

Analyzing the Risks Embedded in Option Prices with rndfittool pp. 1-15

Andrea Barletta and Paolo Santucci de Magistris

Risk Aversion, Loss Aversion, and the Demand for Insurance pp. 1-19

Louis Eeckhoudt, Anna Maria Fiori and Emanuela Rosazza Gianin

Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes pp. 1-39

José-Luis Pérez and Kazutoshi Yamazaki

A General Framework for Portfolio Theory—Part I: Theory and Various Models pp. 1-35

Stanislaus Maier-Paape and Qiji Jim Zhu

An Individual Claims History Simulation Machine pp. 1-32

Andrea Gabrielli and Mario V. Wüthrich

Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems pp. 1-12

Wei Wei

Estimating the Potential Risks of Sea Level Rise for Public and Private Property Ownership, Occupation and Management pp. 1-21

Georgia Warren-Myers, Gideon Aschwanden, Franz Fuerst and Andy Krause

Stochastic Modeling of Wind Derivatives in Energy Markets pp. 1-21

Fred Espen Benth, Luca Di Persio and Silvia Lavagnini

An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing pp. 1-34

Apostolos Bozikas and Georgios Pitselis

The Cascade Bayesian Approach: Prior Transformation for a Controlled Integration of Internal Data, External Data and Scenarios pp. 1-17

Bertrand K. Hassani and Alexis Renaudin

An Optimal Investment Strategy for Insurers in Incomplete Markets pp. 1-23

Mohamed Badaoui, Begoña Fernández and Anatoliy Swishchuk

Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity pp. 1-23

Xavier Milhaud, Victorien Poncelet and Clement Saillard

On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics pp. 1-18

Florin Avram and Sooie-Hoe Loke

On Two Mixture-Based Clustering Approaches Used in Modeling an Insurance Portfolio pp. 1-18

Tatjana Miljkovic and Daniel Fernández

Life Insurance and Annuity Demand under Hyperbolic Discounting pp. 1-10

Siqi Tang, Sachi Purcal and Jinhui Zhang

Credit Risk Analysis Using Machine and Deep Learning Models pp. 1-20

Peter Martey Addo, Dominique Guegan and Bertrand Hassani

The Italian Pension Gap: A Stochastic Optimal Control Approach pp. 1-20

Alessandro Milazzo and Elena Vigna

Real-Option Valuation in a Finite-Time, Incomplete Market with Jump Diffusion and Investor-Utility Inflation pp. 1-20

Timothy Hillman, Nan Zhang and Zhuo Jin

Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model pp. 1-28

Yanlin Shi and Yang Yang

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles pp. 1-28

James Ming Chen

Precise Large Deviations for Subexponential Distributions in a Multi Risk Model pp. 1-13

Dimitrios G. Konstantinides

An Intersection–Union Test for the Sharpe Ratio pp. 1-13

Gabriel Frahm

The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula pp. 1-13

Gian Paolo Clemente

Using Cutting-Edge Tree-Based Stochastic Models to Predict Credit Risk pp. 1-13

Khaled Halteh, Kuldeep Kumar and Adrian Gepp

Subjective Expected Utility with State-Dependent but Action/Observation-Independent Preferences pp. 1-9

Jacques Dreze

Multivariate Credibility in Bonus-Malus Systems Distinguishing between Different Types of Claims pp. 1-11

Emilio Gómez-Déniz and Enrique Calderín-Ojeda

Diversification and Systemic Risk: A Financial Network Perspective pp. 1-11

Rüdiger Frey and Juraj Hledik

Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants pp. 1-22

Rasika Yatigammana, Shelton Peiris, Richard Gerlach and David Allen

Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models pp. 1-25

Jonas Harnau

Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations pp. 1-25

Andreas Mühlbacher and Thomas Guhr

A Credit-Risk Valuation under the Variance-Gamma Asset Return pp. 1-25

Roman V. Ivanov

A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies pp. 1-26

Anne-Sophie Krah, Zoran Nikolić and Ralf Korn

Volume 6, issue 1, 2018

Consistent Valuation Across Curves Using Pricing Kernels pp. 1-39

Andrea Macrina and Obeid Mahomed

Longevity Risk Management and the Development of a Value-Based Longevity Index pp. 1-20

Yang Chang and Michael Sherris

Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks pp. 1-20

Thierry Moudiki, Frédéric Planchet and Areski Cousin

A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution pp. 1-15

Zinoviy Landsman, Udi Makov and Tomer Shushi

Optimal Investment under Cost Uncertainty pp. 1-19

Jerome Detemple and Yerkin Kitapbayev

Special Issue “Ageing Population Risks” pp. 1-2

Pavel V. Shevchenko

Acknowledgement to Reviewers of Risks in 2017 pp. 1-2

Risks Editorial Office

Price and Profit Optimization for Financial Services pp. 1-12

Catalina Bolancé, Montserrat Guillen, Jens Perch Nielsen and Fredrik Thuring

On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends pp. 1-13

Kam Pui Wat, Kam Chuen Yuen, Wai Keung Li and Xueyuan Wu

A Risk-Based Approach for Asset Allocation with A Defaultable Share pp. 1-27

Yang Shen and Tak Kuen Siu

A Simple Traffic Light Approach to Backtesting Expected Shortfall pp. 1-7

Nick Costanzino and Michael Curran

Dread Disease and Cause-Specific Mortality: Exploring New Forms of Insured Loans pp. 1-21

Valeria D’Amato, Emilia Di Lorenzo and Marilena Sibillo

Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums pp. 1-21

José Garrido and Ramin Okhrati

Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression pp. 1-21

Noemi Nava, Tiziana Di Matteo and Tomaso Aste

Stable Value Funds Performance pp. 1-40

David Babbel and Miguel A. Herce

Company Value with Ruin Constraint in a Discrete Model pp. 1-14

Christian Hipp

The Exponential Estimate of the Ultimate Ruin Probability for the Non-Homogeneous Renewal Risk Model pp. 1-17

Edita Kizinevič and Jonas Šiaulys

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk pp. 1-18

Asmerilda Hitaj, Cesario Mateus and Ilaria Peri

Health Care Workers’ Risk Perceptions and Willingness to Report for Work during an Influenza Pandemic pp. 1-18

Georges Dionne, Denise Desjardins, Martin Lebeau, Stéphane Messier and André Dascal

A Note on Parameter Estimation in the Composite Weibull–Pareto Distribution pp. 1-8

Enrique Calderín-Ojeda

Preliminary Investigations for Better Monitoring: Learning in Repeated Insurance Audits pp. 1-22

Reda Aboutajdine and Pierre Picard

Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance pp. 1-3

Albert Cohen

Multivariate Birnbaum-Saunders Distributions: Modelling and Applications pp. 1-25

Robert G. Aykroyd, Víctor Leiva and Carolina Marchant