2023 December - 17 articles
We consider two possible approaches to the problem of incorporating explicit general (i.e., economic) inflation in the non-life claims reserve estimates and the corresponding reserve SCR, defined—as in Solvency II—under the one-year view....
Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk optimization, cap...
The global trends in taxation have generated a “race to the bottom” in capital income taxation, which is intended to be stopped by OECD through the introduction of a global minimum tax rate (15% of effective average tax rate—EATR)....
The COVID-19 pandemic introduced unprecedented challenges for households globally, serving as a precursor to and trigger for financial stress. This study examined the associations across various factors thought to be associated with financial stress...
We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as...
German health insurance companies increasingly strive to position themselves as health partners to their customers to improve customers’ health and contain costs. However, there is uncertainty about customers’ preferences for health servi...
The Chinese stock market is replete with numerous omitted variables that can introduce biases in the standard estimation of risk premiums when traditional linear asset pricing models are applied. The three-pass method enables the estimation of risk p...
Green bonds are an increasingly important area not only in the financing of investments important to the environment, but recently also as an object of investment. From the investors point of view, the key aspect still remains the efficiency of the i...
Predictive modeling has been widely used for insurance rate making. In this paper, we focus on insurance claim count data and address their common issues with more flexible modeling techniques. In particular, we study the zero-inflated and hurdle-gen...
Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs)...
Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional Heteros...
Currently, energy consumption has increased exponentially. Using fossil fuels to produce energy generates high shares of carbon dioxide emissions and greenhouse gases. Moreover, financial authorities at the global and European levels have recognized...
In recent years, the issue of population aging has been a challenge for China’s economic and social development. Due to factors such as the imperfect pension security system, the financial vulnerability of families has been greatly impacted by...
In recent multi-population stochastic mortality models, one critical scientific issue is the vague distinction between trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent factors...
Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee–Carter model oft...
In the insurance industry, life insurers are required by regulators to meet capital requirements to avoid insolvency caused by, for example, sudden mortality changes due to the COVID-19 pandemic. To prevent any large movements in this required capita...
This article examines the factors contributing to the disparity in managers’ disclosure tone from a signalling perspective. According to this viewpoint, managers intentionally choose their tone to convey information to the market. To determine...
