2022 November - 22 articles
Cybersecurity breach probability functions describe how cybersecurity investments impact the actual vulnerability to cyberattacks through the probability of success of the attack. They essentially use mathematical models to make cyber-risk management...
This paper proposes a two-step LASSO based vector autoregressive (2-LVAR) model to forecast mortality rates. Within the VAR framework, recent studies have developed a spatial–temporal autoregressive (STAR) model, in which age-specific mortality...
This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method character...
In this paper, we investigated rates of admission to hospitals (or other health facilities) due to respiratory diseases in a United States working population and their dependence on a number of demographic and health insurance-related factors. We emp...
In this paper, the insurance reserve period will be classified according to the claim frequency domain, such as high- or low-frequency periods. We use the clustering method to create and group claims data according to their frequency period. Meanwhil...
The performance of the Ghana Stock Exchange (GSE) over the years has been susceptible to both crises and country-specific factors reflected in its macroeconomic fundamentals. Accordingly, the GSE composite index (GSECI) has experienced rapid fluctuat...
The dynamics of the financial reliability of insurers show rather unstable and often unfavorable trends, which indicate an increase in the risks of their financial insecurity and requires searching for reserves to improve their financial condition in...
The PRISM method is a risk assessment approach that focuses on hidden-risk identification and ranking. The combined AHP-PRISM method was created for strategic assessments based on pairwise comparisons. The PRISM and AHP-PRISM methods have remarkable...
Trading in binary options is discussed using an approach based on expected profit (EP) and expected loss (EL) as metrics of reward and risk of trades. These metrics are reviewed and the role of the EL/EP ratio as an indicator of quality of trades, ta...
We consider a defined-contribution (DC)-pension-fund-management problem under partial information. The fund manager is allowed to invest the wealth from the fund account into a financial market consisting of a risk-free account, a stock and a rolling...
Related party transactions (RPT) are a common transaction conducted among companies and are the focus of the business world today. The purpose of this study is twofold, as follows: first, to provide empirical evidence for whether the RPT of related p...
Fintech allows investors to explore previously unavailable investment opportunities; it provides new return opportunities while also introducing new risks. The aim of this study is to investigate the relationship between risk and return in the fintec...
Technological innovation has changed the financial market significantly with the increasing application of high-frequency data in research and practice. This study examines the performance of intraday implied volatility (IV) in estimating currency op...
Financing is the main source of Islamic bank income as a financial intermediary that will contribute to the bank’s profitability. There are two financing schemes, namely profit–loss-sharing financing and nonprofit–loss-sharing finan...
The motivation for this study was a new context associated with the increased cyclical nature of the economy and, accordingly, the increased financial risks of the business, which complicated the implementation of corporate social responsibility. The...
We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model. We propose a set of eight desirable axioms for this class of diversification measures. We name the measures satisfying these axioms...
We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim tr...
A corporate socially responsible-focused approach adds value to a firm in the form of financial benefits in addition to improving its corporate image. To meet the demands of various stakeholders, including consumers, employees, and shareholders, and...
This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copu...
Introducing uncertainty under fiscal sustainability conditions for the public debt provides a framework for analyzing debt dynamics. Such methods are commonly used for fiscal projections, but our aim here is retrospective; we evaluate the sudden jump...
Under-reporting in cyber incidents is a well-established problem. Due to reputational risk and the consequent financial impact, a large proportion of incidents are never disclosed to the public, especially if they do not involve a breach of protected...
In this research study, we show how existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) can be extended to an entire internal market risk model—with enough risk factors to model the full ban...
