Showing 1 - 10 of 34
The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered … models in order to predict the probability of tail events and the Value-at-Risk and the Expected Shortfall risk measures for …
Persistent link: https://www.econbiz.de/10012203657
We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of …-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The …
Persistent link: https://www.econbiz.de/10011507634
Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …
Persistent link: https://www.econbiz.de/10014230963
This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models … usual conditions - completeness and right-continuity of the filtration - are not assumed. Three risk models are formulated … oscillations or jumps, and the third introduces a Gaussian risk model using counting processes to capture premium and claim cash …
Persistent link: https://www.econbiz.de/10015408385
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
This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can be predicted with certainty, i.e., that...
Persistent link: https://www.econbiz.de/10012203783
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
Climate risk refers to the risks associated with climate change and has already started to impact various sectors of … the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the … of default. We also propose a model to assess the exposure of the firm to transition risk. …
Persistent link: https://www.econbiz.de/10015137901
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process …. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a …
Persistent link: https://www.econbiz.de/10010338318
We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment …
Persistent link: https://www.econbiz.de/10010338338