Risks, Volume 7, Issue 3

With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation have bee...

The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz’s mean-variance or risk parity...

We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an...

This paper revisits the spectrally negative Lévy risk process embedded with the general tax structure introduced in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0. The potent...

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P ( u ) for the component-wise ruin (that is both busine...

The sector of SME is the major force for the national economic and social development. Financial risk is one of the key threats to the activity of small and medium enterprises. The most common manifestation of the financial risk of SMEs is difficulty...

The purpose of this paper is to survey recent developments in granular models and machine learning models for loss reserving, and to compare the two families with a view to assessment of their potential for future development. This is best understood...

It is intuitive that proximity to hospitals can only improve the chances of survival from a range of medical conditions. This study examines the empirical evidence for this assertion, based on Australian data. While hospital proximity might serve as...

We analyzed real telematics information for a sample of drivers with usage-based insurance policies. We examined the statistical distribution of distance driven above the posted speed limit—which presents a strong positive asymmetry—using...

In this paper, we propose models for non-life loss reserving combining traditional approaches such as Mack’s or generalized linear models and gradient boosting algorithm in an individual framework. These claim-level models use information about...