Risks, Volume 7, Issue 1

We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model...

In the field of mortality, the Lee–Carter based approach can be considered the milestone to forecast mortality rates among stochastic models. We could define a “Lee–Carter model family” that embraces all developments of this m...

This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decis...

Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-d...

This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain...

In this paper, we develop a contingent claim model to evaluate the equity, default risk, and efficiency gain/loss from managerial overconfidence of a shadow-banking life insurer under the purchases of distressed assets by the government. Our paper fo...

There is an increasing influence of machine learning in business applications, with many solutions already implemented and many more being explored. Since the global financial crisis, risk management in banks has gained more prominence, and there has...

We introduce a financial stress index that was developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. The index employs a novel and flexible methodology us...

Estimation of future mortality rates still plays a central role among life insurers in pricing their products and managing longevity risk. In the literature on mortality modeling, a wide number of stochastic models have been proposed, most of them fo...

In this paper, we propose a credible regression approach with random coefficients to model and forecast the mortality dynamics of a given population with limited data. Age-specific mortality rates are modelled and extrapolation methods are utilized t...