2023 March - 17 articles
We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to follow a stochastic process, underpinned by data. The distribution of the present value of future individual cash flows is calculate...
Pension entitlements are influenced by individual career paths and labor market conditions, which often result in gender-based disparities. Women face several challenges during their working lives, such as late entry into the labor market, the gender...
We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal conditions that time-steps the BSDE backwards and apply it to the differential rates problem as a...
The COVID-19 pandemic has been an extraordinary event, the type of event that rarely occurs but that has major impacts on the stock market. The pandemic has created high volatility and caused extreme fluctuations in the stock market. The stock market...
The International Financial Reporting Standard (IFRS) 9 relates to the recognition of an entity’s financial asset/liability in its financial statement, and includes an expected credit loss (ECL) framework for recognising impairment. The quantif...
This paper aims to investigate the impact of blockchain on the quality of the information in listed and non-listed companies in Iraq; the temporal scope of this study is 2022. The statistical population of this research is divided into two parts: one...
Traditionally, Parisian ruin is said to occur when the insurer’s surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grac...
Risk analysis in motor insurance aims to identify factors that increase the frequency of accidents. Telematics data is used to measure behavioural information of drivers. Contextual variables include temperature, rain, wind and traffic conditions tha...
The purpose of this study was to analyze the impact of financial performance on the tone used in the chief executive officer (CEO) statements of South Africa’s (SA) top 40 JSE-listed companies in the 2021 financial year. This study implements t...
Board members and the chairman of the board must provide shareholders and other stakeholders with annual reports that include the chairman’s statement. The statement provides an important message to stakeholders concerning financial performance...
This study uses a panel data regression model to investigate how internal and external factors affect the profitability of city commercial banks in China. The research sample consists of 16 listed city commercial banks with an unbalanced dataset cove...
We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in the Black–Scholes setting. To our knowledge, the results here are the first for trinomial...
This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalizatio...
In this study, we examine major cryptocurrencies, present notable fraud cases, describe fraud risks, and analyze cryptocurrency financial performance. People debate whether cryptocurrency is an investment opportunity, the new Dutch Tulip Bubble, or a...
Policymakers’ attempts to prevent gambling-related harm are affected by the ‘gamblification’ of, for example, video games and investing. This review highlights related issues posed by cryptocurrencies, which are decentralised and vo...
Logistic regression is a very popular binary classification technique in many industries, particularly in the financial service industry. It has been used to build credit scorecards, estimate the probability of default or churn, identify the next bes...
Environmental challenges often present businesses with unexpected situations, and in order to address them, innovation in the direction of sustainability must become an unavoidable activity. This entails the transformation and development of the exis...
