Purpose – This paper considers a Sparre Andersen risk process for which the claims inter-arrival distribution is Generalized Exponential. The purpose of this paper is to find explicit expressions for the moments of time to ruin when a penalty is imposed at ruin. Design/methodology/approach –...

Purpose – The purpose of this paper is to describe a generalization of the familiar two-sample t-test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more reliable...

Purpose – To study the effect of Knightian uncertainty – as opposed to statistical estimation error – in the evaluation of value-at-risk (VaR) of financial investments. To develop methods for augmenting existing VaR estimates to account for Knightian uncertainty....