Risks

2013 - 2025

Current editor(s): Mr. Claude Zhang

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Volume 4, issue 4, 2016

Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency pp. 1-35

Sascha Desmettre, Ralf Korn, Javier Alejandro Varela and Norbert Wehn

Parameter Estimation in Stable Law pp. 1-15

Annika Krutto

Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics pp. 1-19

Julie Thøgersen

Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs pp. 1-36

Marcos Escobar Anel, Mikhail Krayzler, Franz Ramsauer, David Saunders and Rudi Zagst

Deflation Risk and Implications for Life Insurers pp. 1-36

Jean-François Bégin

Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios pp. 1-16

Mélina Mailhot and Mhamed Mesfioui

How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk pp. 1-16

Ambrose Lo

Compositions of Conditional Risk Measures and Solvency Capital pp. 1-21

Pierre Devolder and Adrien Lebègue

Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle pp. 1-12

Mi Chen, Wenyuan Wang and Ruixing Ming

Bayesian Option Pricing Framework with Stochastic Volatility for FX Data pp. 1-12

Ying Wang, Sai Tsang Boris Choy and Hoi Ying Wong

Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models pp. 1-28

Anastasia Novokreshchenova

A Note on Realistic Dividends in Actuarial Surplus Models pp. 1-9

Benjamin Avanzi, Vincent Tu and Bernard Wong

A Note on Health Insurance under Ex Post Moral Hazard pp. 1-9

Pierre Picard

Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof pp. 1-8

Chuancun Yin and Dan Zhu

Frailty and Risk Classification for Life Annuity Portfolios pp. 1-23

Annamaria Olivieri and Ermanno Pitacco

Estimation of Star-Shaped Distributions pp. 1-37

Eckhard Liebscher and Wolf-Dieter Richter

Macroprudential Insurance Regulation: A Swiss Case Study pp. 1-30

Philippe Deprez and Mario V. Wüthrich

A Note on the Impact of Parameter Uncertainty on Barrier Derivatives pp. 1-25

Marcos Escobar Anel and Sven Panz

A Note on Upper Tail Behavior of Liouville Copulas pp. 1-10

Lei Hua

Volume 4, issue 3, 2016

Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains pp. 1-26

Francesca Biagini, Andreas Groll and Jan Widenmann

Using Climate and Weather Data to Support Regional Vulnerability Screening Assessments of Transportation Infrastructure pp. 1-24

Leah A. Dundon, Katherine S. Nelson, Janey Camp, Mark Abkowitz and Alan Jones

Survey on Log-Normally Distributed Market-Technical Trend Data pp. 1-18

René Brenner and Stanislaus Maier-Paape

Choosing Markovian Credit Migration Matrices by Nonlinear Optimization pp. 1-18

Maximilian Hughes and Ralf Werner

Optimal Reinsurance with Heterogeneous Reference Probabilities pp. 1-11

Tim J. Boonen

Consistent Re-Calibration of the Discrete-Time Multifactor Vasi?ek Model pp. 1-31

Philipp Harms, David Stefanovits, Josef Teichmann and Mario V. Wüthrich

A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework pp. 1-31

Pavel V. Shevchenko and Xiaolin Luo

The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts pp. 1-7

Kevin Dowd, David Blake and Andrew J. G. Cairns

Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events pp. 1-28

Mario Ghossoub

An Optimal Turkish Private Pension Plan with a Guarantee Feature pp. 1-12

Ayşegül İşcanog̃lu-Çekiç

The Wasserstein Metric and Robustness in Risk Management pp. 1-14

Rüdiger Kiesel, Robin Rühlicke, Gerhard Stahl and Jinsong Zheng

Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process pp. 1-20

Stanislaus Maier-Paape and Andreas Platen

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory pp. 1-20

Hirbod Assa, Manuel Morales and Hassan Omidi Firouzi

Understanding Reporting Delay in General Insurance pp. 1-36

Richard J. Verrall and Mario V. Wüthrich

Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner pp. 1-5

Daniel Buncic

Volume 4, issue 2, 2016

Community Analysis of Global Financial Markets pp. 1-15

Irena Vodenska, Alexander P. Becker, Di Zhou, Dror Y. Kenett, H. Eugene Stanley and Shlomo Havlin

Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window pp. 1-23

Corina Constantinescu, Suhang Dai, Weihong Ni and Zbigniew Palmowski

Improving Convergence of Binomial Schemes and the Edgeworth Expansion pp. 1-22

Alona Bock and Ralf Korn

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments pp. 1-41

Gareth W. Peters, Wilson Ye Chen and Richard H. Gerlach

Participating Life Insurance Products with Alternative Guarantees: Reconciling Policyholders’ and Insurers’ Interests pp. 1-18

Andreas Reuß, Jochen Ruß and Jochen Wieland

Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective) pp. 1-18

Arthur Charpentier and Mathieu Pigeon

Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities pp. 1-18

Elisa Luciano, Jaap Spreeuw and Elena Vigna

Inflation Protected Investment Strategies pp. 1-21

Mirco Mahlstedt and Rudi Zagst

Telematics and Gender Discrimination: Some Usage-Based Evidence on Whether Men’s Risk of Accidents Differs from Women’s pp. 1-10

Mercedes Ayuso, Montserrat Guillen and Ana María Pérez-Marín

Volume 4, issue 1, 2016

Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies pp. 1-14

David Allen, Michael McAleer, Shelton Peiris and Abhay K. Singh

Analysis of Insurance Claim Settlement Process with Markovian Arrival Processes pp. 1-10

Jiandong Ren

Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer pp. 1-27

Massimiliano Amarante and Mario Ghossoub

High-Frequency Financial Econometrics pp. 1-3

Harley Thompson

Premiums for Long-Term Care Insurance Packages: Sensitivity with Respect to Biometric Assumptions pp. 1-22

Ermanno Pitacco

Acknowledgement to Reviewers of Risks in 2015 pp. 1-2

Risks Editorial Office

Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends pp. 1-15

Sung Soo Kim and Steve Drekic

Multivariate Frequency-Severity Regression Models in Insurance pp. 1-36

Edward W. Frees, Gee Lee and Lu Yang