Narrow search
Showing 1 - 10 of 188
Cover Image
Money as insurance
Laurila, Hannu - In: Risks : open access journal 10 (2022) 12, pp. 1-13
cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …
Persistent link: https://www.econbiz.de/10014230960
Cover Image
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 …) diversifying risk models lowers P&L correlations, reduces turnover and market impact, and increases capacity. We discuss various …
Persistent link: https://www.econbiz.de/10011299524
Cover Image
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
Cover Image
Surrounding risks
Steffensen, Mogens - In: Risks : open access journal 1 (2013) 1, pp. 43-44
incidentally and mercilessly, but the uncertainty of economic consequences can be more or less cleverly distributed by the …
Persistent link: https://www.econbiz.de/10009754658
Cover Image
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
Cover Image
Optimal deterministic investment strategies for insurers
Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...
Persistent link: https://www.econbiz.de/10010199019
Cover Image
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
Cover Image
Publishing risks
Steffensen, Mogens - In: Risks : open access journal 2 (2014) 1, pp. 1-2
"What is complicated is not necessarily insightful and what is insightful is not necessarily complicated: Risks welcomes simple manuscripts that contribute with insight, outlook, understanding and overview"-a quote from the first editorial of this journal [1]. Good articles are not characterized...
Persistent link: https://www.econbiz.de/10010338107
Cover Image
Impact of climate change on heat wave risk
Biard, Romain; Blanchet-Scalliet, Christophette; … - In: Risks : open access journal 1 (2013) 3, pp. 176-191
We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...
Persistent link: https://www.econbiz.de/10010338320
Cover Image
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
We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as negative, where the observation rate may...
Persistent link: https://www.econbiz.de/10010338338