Showing 31 - 40 of 474
Risk management in the project portfolio can contribute to more effective implementation of the goals of the projects, the portfolio, and the entire organization. However, in the literature on the subject, relatively little attention is paid to the determinants of this process. Moreover, the...
Persistent link: https://www.econbiz.de/10014637175
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...
Persistent link: https://www.econbiz.de/10013363123
When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...
Persistent link: https://www.econbiz.de/10013555458
The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in several prior studies provides more flexibility...
Persistent link: https://www.econbiz.de/10014391590
This article maps and verifies the dependence relation between risks faced by startup investors. Thus, a systematic review of 33 articles and a meta-analysis using the Apriori algorithm were used. We mapped 14 investment risks faced by startup investors, classifying them into four dimensions:...
Persistent link: https://www.econbiz.de/10014391794
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...
Persistent link: https://www.econbiz.de/10014370410
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
A spectrum of upper bounds (Qα(X ; p) ae[0,∞] on the (largest) (1-p)-quantile Q(X;p) of an arbitrary random variable X is introduced and shown to be stable and monotonic in α, p, and X , with Q0(X ;p) = Q(X;p). If p is small enough and the distribution of X is regular enough, then Qα(X ; p)...
Persistent link: https://www.econbiz.de/10010482350
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
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