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Defined contribution pension plans : who has seen the risk?
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27
The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...
Persistent link: https://www.econbiz.de/10012022143
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The effects of ERM adoption on European insurance firms performance and risks
Jurdi, Doureige J.; AlGhnaimat, Sam M. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
publicly listed insurance firms. Using a dataset for 24 years, we report new results which show that ERM adopters realize …
Persistent link: https://www.econbiz.de/10012796172
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The perceived effectiveness of blockchain for digital operational risk resilience in the European Union insurance market sector
Grima, Simon; Kizilkaya, Murat; Sood, Kiran; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-15
resilience within the European insurance market sector has grown exponentially. This study aims to use the case of blockchain to …
Persistent link: https://www.econbiz.de/10012626663
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Insurance risks management methodology
Ivanovna, Kartashova Olga; Vladimirovna, Molchanova Olga; … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-15
The purposes of the study are to substantiate the influence of the specific features of insurance on the set of … management accounting objects and to develop a mechanism of preparing the relevant information for insurance risk management … organization’s profits. The object of research is management accounting in the information system of an insurance company. The …
Persistent link: https://www.econbiz.de/10011960615
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Humanizing finance by hedging property values
Roig Hernando, Jaume - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-11
, such as price level-adjusted mortgages, property derivatives, and home equity value insurance. Financial institutions …
Persistent link: https://www.econbiz.de/10011543998
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Risk measures and portfolio optimization
Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 113-129
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
Persistent link: https://www.econbiz.de/10011553110
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Deep partial hedging
Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5
Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of...
Persistent link: https://www.econbiz.de/10013273487
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Optimal allocation of retirement portfolios
Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...
Persistent link: https://www.econbiz.de/10013206042
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...
Persistent link: https://www.econbiz.de/10012309311
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Default risk and cross section of returns
Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15
Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...
Persistent link: https://www.econbiz.de/10012022028