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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations …

Persistent link: https://www.econbiz.de/10012292914

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

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

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 … the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total … observations concerning the impact our threshold levels have on the finite-time ruin probabilities and expected total discounted …

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

that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The …

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 … of insurance benefits. These cover single payments at maturity, annuity-type payments and payments at the time of a …

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

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