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Using econometric models to manage the price risk of cocoa beans : a case from India

Kumar, Kepulaje Abhaya; Spulbăr, Cristi; Pinto, Prakash; … - In: Risks : open access journal 10 (2022) 6, pp. 1-18

This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of … ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive). The monthly price of Cocoa beans is … futures price from the website of investing.com. The augmented dickey fuller test is used to test the stationarity of the …

Persistent link: https://www.econbiz.de/10013363126

Custom v. standardized risk models

Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...

Persistent link: https://www.econbiz.de/10011299524

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

-hedgeable parts. We assume that a limited number of short-maturity bonds are traded, and derive the best-estimate price of bonds with …

Persistent link: https://www.econbiz.de/10011300314

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Optimal reinsurance : a risk sharing approach

Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to...

Persistent link: https://www.econbiz.de/10010199029

A risk model with an observer in a Markov environment

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks : open access journal 1 (2013) 3, pp. 148-161

argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting …

Persistent link: https://www.econbiz.de/10010338338

Optimal dynamic portfolio with mean-CVaR criterion

Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...

Persistent link: https://www.econbiz.de/10010338351

Ruin analysis of a discrete-time dependent Sparre Andersen model with external financial activities and randomized dividends

Kim, Sung Soo; Drekic, Steve - In: Risks : open access journal 4 (2016) 1, pp. 1-15

We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer's minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure...

Persistent link: https://www.econbiz.de/10011443691

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...

Persistent link: https://www.econbiz.de/10011507555

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

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