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Sharp probability tail estimates for portfolio credit risk

Collamore, Jeffrey F.; Silva, Hasitha de; Vidyashankar, … - In: Risks : open access journal 10 (2022) 12, pp. 1-20

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...

Persistent link: https://www.econbiz.de/10014230963

Persistence of bank credit default swap spreads

Huang, Xin - In: Risks : open access journal 7 (2019) 3/90, pp. 1-13

Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in …

Persistent link: https://www.econbiz.de/10012126480

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10012293125

Uncertainty in pricing and risk measurement of survivor contracts

So, Kenrick Raymond; Cruz, Stephanie Claire; Marcella, … - In: Risks : open access journal 13 (2025) 2, pp. 1-25

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

Persistent link: https://www.econbiz.de/10015334597

Spectral expansions for credit risk modelling with occupation times

Campolieti, Giuseppe; Kato, Hiromichi; Makarov, Roman - In: Risks : open access journal 10 (2022) 12, pp. 1-20

defaults and credit default swap (CDS) spreads as special cases, which are derived analytically via a spectral expansion …

Persistent link: https://www.econbiz.de/10014230904

An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages

Cheng, Dan; Cirillo, Pasquale - In: Risks : open access journal 7 (2019) 3, pp. 76

We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...

Persistent link: https://www.econbiz.de/10012127587

Multivariate collective risk model : dependent claim numbers and Panjer's recursion

Rudolph, Cordelia; Schmock, Uwe - In: Risks : open access journal 8 (2020) 2/43, pp. 1-31

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 Poisson mixture distributions. We let the claim...

Persistent link: https://www.econbiz.de/10012292820

Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Expected utility optimization with convolutional stochastically ordered returns

Gauchon, Romain; Barigou, Karim - In: Risks : open access journal 12 (2024) 6, pp. 1-19

Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as they seek to optimize outcomes. Traditional methods often require restrictive assumptions about underlying stochastic processes, limiting their applicability. This paper...

Persistent link: https://www.econbiz.de/10014636719