2022 June - 21 articles
We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two-dimensional risk process, where claims and premiums are shared with a predetermined proportion. This type of process is often called t...
Since December 2019 we have been living with the virus known as SARS-CoV-2, a situation which has led to health policies being given prevalence over economic ones and has caused a paralysis in the demand for raw materials for several months due to th...
There are numerous risks associated with mining and owning cryptocurrencies, and exploring and producing oil and natural gas are highly risky, costly, and controversial. A marriage of digital mining and exploring and producing oil and natural gas has...
This study quantifies the air quality impact on population mortality from an actuarial perspective, considering implications to the industry through the application of findings. The study focuses on the increase in mortality from air quality changes...
The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbrea...
While previous academic research highlights the potential of machine learning and big data for predicting corporate bond recovery rates, the operations management challenge is to identify the relevant predictive variables and the appropriate model. I...
Research on cryptocurrencies has proliferated in recent years. Our research objective was to answer the question of whether macroeconomic news from the U.S. affects Bitcoin in the same way it affects other common investment assets such as gold, the S...
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevit...
Online activity increasing spreads with the power of technological development. Many studies reported the impact of online activities on decision making. From the statistical perspective, decision making is related to statistical inference. In this r...
Faced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the imp...
The aim of the paper is to identify groups of banks with similar environmental commitment, taking into account their direct environmental impact. The study, which employs the aggregation method, reveals that small banks with a relatively worse financ...
In recent years it has become possible to collect GPS data from drivers and to incorporate these data into automobile insurance pricing for the driver. These data are continuously collected and processed nightly into metadata consisting of mileage an...
This paper aims to study the international experience (in the aspect and taking into account the specifics of regions of the world) integrating the SDGs into corporate strategies and to identify the following: (1) supported SDGs (UN standards); (2) i...
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividen...
This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive). The monthly price of Cocoa beans is collected for...
This study examines the antecedents/determinants of behavioral intentions toward the utilization of Islamic financial technology for Middle Eastern customers. The study applied structural equation modeling (PLS-SEM). After robust research efforts wer...
Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded...
The COVID-19 pandemic and now the war in Ukraine, have raised the risks to levels not seen in the last 30 years [...]
Organizations are formed to gain long-term benefits. However, sometimes myopic management for feigned value enhancement led to the early demise of the firm. Further, to the best of our knowledge empirical role of financing constraints has not yet bee...
The Lee–Carter model, the dominant mortality projection modeling in the literature, was criticized for its homoscedastic error assumption. This was corrected in extensions to the model based on the assumption that the number of deaths follows P...
The economic and financial chaos caused by COVID-19 has been a discussion topic since the beginning of 2020. This study intends to provide a parallel comparison of volatility change and external shock persistence of the Islamic and conventional stock...
