Risks

2013 - 2025

Current editor(s): Mr. Claude Zhang

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Volume 5, issue 4, 2017

Optional Defaultable Markets pp. 1-21

Mohamed N. Abdelghani and Alexander V. Melnikov

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

Georges Dionne and Sara Malekan

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

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

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

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

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

Bounded Brownian Motion pp. 1-11

Peter Carr

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

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

Luca Regis

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

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

Interest Rates Term Structure under Ambiguity pp. 1-29

Silvia Romagnoli and Simona Santoro

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

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

Carlo Maccheroni and Samuel Nocito

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

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

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

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

Mathias Lindholm, Filip Lindskog and Felix Wahl

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

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

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

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

Risk Management under Omega Measure pp. 1-14

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

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

Albert Cohen and Nick Costanzino

Applying spectral biclustering to mortality data pp. 1-13

Gabriella Piscopo and Marina Resta

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

Susanna Levantesi and Massimiliano Menzietti

Actuarial Geometry pp. 1-44

Stephen J. Mildenhall

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

Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko

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

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

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

Nataliya Chukhrova and Arne Johannssen

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

Jing Liu and Huan Zhang

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

Volume 5, issue 1, 2017

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

Başak Bulut Karageyik and Şule Şahin

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

Silvio Aldrovandi, Petko Kusev, Tetiana Hill and Ivo Vlaev

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

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

Changyu Liu and Michael Sherris

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

Jan Natolski and Ralf Werner

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

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

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

Thomas G. Koch

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

Liivika Tee, Meelis Käärik and Rauno Viin

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