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Spouses' dependence across generations and pricing impact on reversionary annuities

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18

This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...

Persistent link: https://www.econbiz.de/10011507502

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555

Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...

Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29

(DPFS) using clustering analysis, and copula-based parametric modeling of frequency and severity (CPFS). These two …

Persistent link: https://www.econbiz.de/10011687895

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 …

Persistent link: https://www.econbiz.de/10012805838

Modelling volatile time series with v-transforms and copulas

McNeil, Alexander J. - In: Risks : open access journal 9 (2021) 1/14, pp. 1-26

copulas and permit the formulation and estimation of models that combine arbitrary marginal distributions with copula … processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the …

Persistent link: https://www.econbiz.de/10012422995

Copula-based assessment of co-movement and tail dependence structure among major trading foreign currencies in Ghana

Mensah, Prince Osei; Adam, Anokye M. - In: Risks : open access journal 8 (2020) 2/55, pp. 1-20

. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results … to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency …

Persistent link: https://www.econbiz.de/10012292894

Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning

Syuhada, Kreshna; Tjahjono, Venansius; Hakim, Arief - In: Risks : open access journal 11 (2023) 2, pp. 1-25

Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...

Persistent link: https://www.econbiz.de/10014234332

Dependency modeling approach of cause-related mortality and longevity risks : HIV/AIDS

Bett, Nicholas; Kasozi, Juma; Ruturwa, Daniel - In: Risks : open access journal 11 (2023) 2, pp. 1-18

inflexible. To address these problems, we aim to determine and build an appropriate copula dependence model for HIV/AIDS against … other causes of death in the presence of age, gender, and time. A bivariate copula model is proposed to capture the …

Persistent link: https://www.econbiz.de/10014234458

The copula derived from the SAHARA utility function

Spreeuw, Jaap - In: Risks : open access journal 10 (2022) 7, pp. 1-10

A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the …

Persistent link: https://www.econbiz.de/10013364968