February 2021 - 17 articles
The growing trend in the number and severity of auto insurance claims creates a need for new methods to efficiently handle these claims. Machine learning (ML) is one of the methods that solves this problem. As car insurers aim to improve their custom...
This study investigates the country-level determinants of liquidity synchronization and degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable risk factor, liquidity co-movement shock spreads market-wide and th...
Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two-population mode...
The main objective of this study is to analyse consumers’ behavioural intentions to use cardless banking technology in Malaysia. The intentions to use this technology are evaluated through an extended Technology Acceptance Model (TAM) framework. The...
We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and Foster-Hart...
Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study....
Coronavirus disease 2019 (COVID-19) continues to spread rapidly all over the world challenging nearly all governments. The exact nature of COVID-19’s spread and risk factors for such a rapid spread are still imprecise as available data depend on conf...
We consider a non-homogeneous continuous time Markov chain model for Long-Term Care with five states: the autonomous state, three dependent states of light, moderate and severe dependence levels and the death state. For a general approach, we allow f...
Low saving rates combined with low effective retirement age herald old-age poverty. This paper examines the preferred strategies of future Polish pensioners in order to sustain the standard of living in the future. A two-step approach is used: as a f...
This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driv...
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