Risks, Volume 6, Issue 3

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder’s retirement fund with optional guarantees to limit the downside risk of the market. Management fees andguarantee insurance fees are c...

A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free Lévy chains, i.e., for right-continuous random walks embedded into continuous time as compound Poisson processes. This is done by analogy t...

The study considers the product life cycle in the stages of technological innovation, and focuses on how to evaluate the optimal investment strategy and the project value. It applies different product stages (three stages including production innovat...

A quantum mechanics approach is proposed to model non-life insurance risks and to compute the future reserve amounts and the ruin probabilities. The claim data, historical or simulated, are treated as coming from quantum observables and analyzed with...

Background, or systematic, risks are integral parts of many systems and models in insurance and finance. These risks can, for example, be economic in nature, or they can carry more technical connotations, such as errors or intrusions, which could be...

We utilize the data of a very large UK automobile loan firm to study the interaction of the characteristics of borrowers and loans in predicting the subsequent loan performance. Our broader findings confirm the earlier research on the issue of subpri...

The paper addresses three objectives: the first is a presentation and overview of some important developments in quantile times series approaches relevant to demographic applications—secondly, development of a general framework to represent qua...

We propose a novel credit risk measurement model for Corporate Default Swap (CDS) spreads that combines vector autoregressive regression with correlation networks. We focus on the sovereign CDS spreads of a collection of countries that can be regarde...

Almost sure bootstrap consistency of the blockwise bootstrap for the Average Value at Risk of single risks is established for strictly stationary β -mixing observations. Moreover, almost sure bootstrap consistency of a multiplier bootstrap...

There exist several estimators of the regression line in the simple linear regression: Least Squares, Least Absolute Deviation, Right Median, Theil–Sen, Weighted Balance, and Least Trimmed Squares. Their performance for heavy tails is compared...