2020 March - 31 articles
This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized by the uncertain level of the future liability compared to the initially foretasted or expected value. Herein we compute the solve...
This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times. Assuming that the time arrival...
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large...
Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths an...
The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007–2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of...
We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that “survived” all the rebalancings by remaining con...
This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans...
We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a num...
Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR...
This study evaluates four machine learning (ML) techniques (Decision Trees (DT), Random Forests (RF), Neural Networks (NN) and Probabilistic Neural Networks (PNN)) on their ability to accurately predict export credit insurance claims. Additionally, w...
In this paper, a flexible count regression model based on a bivariate compound Poisson distribution is introduced in order to distinguish between different types of claims according to the claim size. Furthermore, it allows us to analyse the factors...
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational...
This study proposes an efficacious approach to analyze the over-dispersed insurance frequency data as it is imperative for the insurers to have decisive informative insights for precisely underwriting and pricing insurance products, retaining existin...
Exchange traded funds (ETFs) are financial innovations that may be considered as a part of the index financial instruments category, together with stock index derivatives. The aim of this paper is to explore the trajectories and formulates prediction...
Broken-heart syndrome is the most common form of short-term dependence, inducing a temporary increase in an individual’s force of mortality upon the occurrence of extreme events, such as the loss of a spouse. Socioeconomic influences on bereave...
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is pa...
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is...
In this paper, we consider a loss reserving model for a general insurance portfolio consisting of a number of correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data. The model proposes a combinati...
Stability indicators are essential to banks in order to identify instability caused by adverse economic circumstances or increasing risks such as customer defaults. This paper develops a novel comprehensive stability indicator (CSI) that can readily...
The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (...
We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with memory in the space
This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modify...
When modelling insurance claim count data, the actuary often observes overdispersion and an excess of zeros that may be caused by unobserved heterogeneity. A common approach to accounting for overdispersion is to consider models with some overdispers...
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process
The editorial team greatly appreciates the reviewers who have dedicated their considerable time and expertise to the journal’s rigorous editorial process over the past 12 months, regardless of whether the papers are finally published or not [...]
In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the...
In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-...
We aim to understand the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. To achieve this aim, we propose an extended Vector Autoregressive model,...
We introduce a generalization of the one-dimensional accelerated failure time model allowing the covariate effect to be any positive function of the covariate. This function and the baseline hazard rate are estimated nonparametrically via an iterativ...
It is probably fair to date loss reserving by means of claim modelling from the late 1960s [...]
Knowledge generated using data mining techniques is of great interest for organizations, as it facilitates tactical and strategic decision making, generating a competitive advantage. In the special case of credit granting organizations, it is importa...
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