Risks

2013 - 2025

Current editor(s): Mr. Claude Zhang

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Volume 5, issue 4, 2017

Optimal Form of Retention for Securitized Loans under Moral Hazard pp. 1-13

Georges Dionne and Sara Malekan

Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance” pp. 1-2

Luca Regis

Optional Defaultable Markets pp. 1-21

Mohamed N. Abdelghani and Alexander V. Melnikov

Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling pp. 1-17

Gaurav Khemka and Adam Butt

Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains pp. 1-17

Arthur Charpentier, Arthur David and Romuald Elie

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks pp. 1-51

Gareth W. Peters, Rodrigo Targino and Mario V. Wüthrich

The Impact of Risk Management in Credit Rating Agencies pp. 1-16

A. Seetharaman, Vikas Kumar Sahu, A. S. Saravanan, John Rudolph Raj and Indu Niranjan

A Review and Some Complements on Quantile Risk Measures and Their Domain pp. 1-16

Sebastian Fuchs, Ruben Schlotter and Klaus D. Schmidt

An Analysis and Implementation of the Hidden Markov Model to Technology Stock Prediction pp. 1-16

Nguyet Nguyen

Bounded Brownian Motion pp. 1-11

Peter Carr

Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing pp. 1-19

Krzysztof Burnecki and Mario Nicoló Giuricich

A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk pp. 1-19

Albert Cohen and Nick Costanzino

An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims pp. 1-24

Enrique Calderín-Ojeda, Kevin Fergusson and Xueyuan Wu

Exposure as Duration and Distance in Telematics Motor Insurance Using Generalized Additive Models pp. 1-23

Jean-Philippe Boucher, Steven Côté and Montserrat Guillen

Volume 5, issue 3, 2017

Valuation of Non-Life Liabilities from Claims Triangles pp. 1-28

Mathias Lindholm, Filip Lindskog and Felix Wahl

Analyzing the Gaver—Lewis Pareto Process under an Extremal Perspective pp. 1-12

Marta Ferreira and Helena Ferreira

An Integrated Approach to Pricing Catastrophe Reinsurance pp. 1-12

Carolyn W. Chang and Jack S. K. Chang

Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative pp. 1-19

Andreas Hermes and Stanislaus Maier-Paape

A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices pp. 1-19

Daniel Leonhardt, Antony Ware and Rudi Zagst

Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates pp. 1-23

Carlo Maccheroni and Samuel Nocito

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 pp. 1-30

Sabyasachi Guharay, Chang Kc and Jie Xu

Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement pp. 1-21

Johan G. Andréasson and Pavel V. Shevchenko

Bubbles, Blind-Spots and Brexit pp. 1-15

John Fry and Andrew Brint

A Robust Approach to Hedging and Pricing in Imperfect Markets pp. 1-20

Hirbod Assa and Nikolay Gospodinov

Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression pp. 1-13

Matthias Fischer, Daniel Kraus, Marius Pfeuffer and Claudia Czado

Interest Rates Term Structure under Ambiguity pp. 1-29

Silvia Romagnoli and Simona Santoro

On the First Crossing of Two Boundaries by an Order Statistics Risk Process pp. 1-14

Dimitrina S. Dimitrova, Zvetan G. Ignatov and Vladimir K. Kaishev

A Low Price Correction for Improved Volatility Estimation and Forecasting pp. 1-14

George-Jason Siouris and Alex Karagrigoriou

Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios pp. 1-17

Iain J. Clark and Saeed Amen

The Class of ( p, q )-spherical Distributions with an Extension of the Sector and Circle Number Functions pp. 1-17

Wolf-Dieter Richter

Optimal Insurance Policies in the Presence of Costs pp. 1-17

Knut Aase

Model Uncertainty in Operational Risk Modeling Due to Data Truncation: A Single Risk Case pp. 1-17

Daoping Yu and Vytaras Brazauskas

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components pp. 1-77

Dorota Toczydlowska, Gareth W. Peters, Man Chung Fung and Pavel V. Shevchenko

Volume 5, issue 2, 2017

Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II pp. 1-21

Susanna Levantesi and Massimiliano Menzietti

State Space Models and the K alman -Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing pp. 1-23

Nataliya Chukhrova and Arne Johannssen

Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model pp. 1-28

Albert Cohen and Nick Costanzino

Enhancing Singapore’s Pension Scheme: A Blueprint for Further Flexibility pp. 1-17

Koon-Shing Kwong, Yiu-Kuen Tse and Wai-Sum Chan

Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates pp. 1-18

Yuan Gao and Han Lin Shang

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities pp. 1-18

Zaghum Umar and Tahir Suleman

Applying spectral biclustering to mortality data pp. 1-13

Gabriella Piscopo and Marina Resta

Risk Management under Omega Measure pp. 1-14

Michael R. Metel, Traian A. Pirvu and Julian Wong

Actuarial Applications and Estimation of Extended CreditRisk+ pp. 1-29

Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko

Effects of Gainsharing Provisions on the Selection of a Discount Rate for a Defined Benefit Pension Plan pp. 1-10

Robert J. Rietz, Evan Cronick, Shelby Mathers and Matt Pollie

Actuarial Geometry pp. 1-44

Stephen J. Mildenhall

Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments pp. 1-11

Jing Liu and Huan Zhang

Volume 5, issue 1, 2017

The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation pp. 1-27

Yuguang Fan, Philip S. Griffin, Ross Maller, Alexander Szimayer and Tiandong Wang

Optimal Retention Level for Infinite Time Horizons under MADM pp. 1-24

Başak Bulut Karageyik and Şule Şahin

A Discussion of a Risk-Sharing Pension Plan pp. 1-20

Catherine Donnelly

Evaluating Extensions to Coherent Mortality Forecasting Models pp. 1-20

Syazreen Shair, Sachi Purcal and Nick Parr

Optimal Time to Enter a Retirement Village pp. 1-20

Jinhui Zhang, Sachi Purcal and Jiaqin Wei

Acknowledgement to Reviewers of Risks in 2016 pp. 1-2

Risks Editorial Office

On Comparison of Stochastic Reserving Methods with Bootstrapping pp. 1-21

Liivika Tee, Meelis Käärik and Rauno Viin

Mathematical Analysis of Replication by Cash Flow Matching pp. 1-15

Jan Natolski and Ralf Werner

Context Moderates Priming Effects on Financial Risk Taking pp. 1-11

Silvio Aldrovandi, Petko Kusev, Tetiana Hill and Ivo Vlaev

The Shifting Shape of Risk: Endogenous Market Failure for Insurance pp. 1-13

Thomas G. Koch

Distinguishing Log-Concavity from Heavy Tails pp. 1-14

Søren Asmussen and Jaakko Lehtomaa

Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks pp. 1-14

Xing-Fang Huang, Ting Zhang, Yang Yang and Tao Jiang

Change Point Detection and Estimation of the Two-Sided Jumps of Asset Returns Using a Modified Kalman Filter pp. 1-14

Ourania Theodosiadou, Sotiris Skaperas and George Tsaklidis

Minimum Protection in DC Funding Pension Plans and Margrabe Options pp. 1-14

Pierre Devolder and Sébastien De Valeriola

n -Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes pp. 1-14

Xuebing Kuang and Xiaowen Zhou

Immunization and Hedging of Post Retirement Income Annuity Products pp. 1-29

Changyu Liu and Michael Sherris

Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account pp. 1-22

Wenjun Jiang, Jiandong Ren and Ričardas Zitikis

Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model pp. 1-22

Bin Zou and Abel Cadenillas

Change Point Estimation in Panel Data without Boundary Issue pp. 1-22

Barbora Peštová and Michal Pešta

The Impact of Changes to the Unemployment Rate on Australian Disability Income Insurance Claim Incidence pp. 1-18

Gaurav Khemka, Steven Roberts and Tim Higgins