June 2020 - 35 articles
The research aims to verify whether the credit risk of small and medium-sized enterprises can be estimated more accurately using qualitative variables together with financial information from reports. In our paper, we select qualitative variables wit...
As cyber events have virtually no geographical limitations and can result in economic losses on a global scale, the assessment of return periods for such economic losses is currently debated among experts. The potential accumulation of consequential...
In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on...
In this paper, we discuss a generalization of the collective risk model and of Panjer’s recursion. The model we consider consists of several business lines with dependent claim numbers. The distributions of the claim numbers are assumed to be P...
The authors wish to make the following corrections to this paper (Ye and Bellotti 2019): [...]
In compulsory health insurance in Switzerland, policyholders can choose two main features, the level of deductible and the type of plan. Deductibles can be chosen among six levels, which range from CHF 300 to 2500. While the coverage and benefits are...
A regularization approach to model selection, within a generalized HJM framework, is introduced, which learns the closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one-parameter fa...
In the present work, we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis, we assume that the stock quotations of insurance companies reflect market sentiments, which cons...
Tax evasion, which is typically considered an illegal activity, is a critical problem and is considered a barrier to economic growth. A review of the literature shows that tax and social security contributions, regulations, public sector services, th...
We examine the profitability of the momentum and contrarian strategies in three South Asian markets, i.e., Bangladesh, India, and Pakistan. We also analyze, whether credit risk influences momentum and contrarian return for these markets from 2008 to...
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