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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
procedure under uncertainty in the real estate market and enriches the academic debate about EVA and revenue. …
Persistent link: https://www.econbiz.de/10014245748
fiscal governance and their implications for challenges in public finance sustainability. The research started from the … presupposition that there is a lack of mechanisms capable of enforcing the area of public finance sustainability, and the implication … for the legislative framework aimed at consolidating public finance sustainability and accentuate the need to use fiscal …
Persistent link: https://www.econbiz.de/10012293252
describe the theoretical background of both machine learning and finance that will be needed to understand the reviewed methods …
Persistent link: https://www.econbiz.de/10013355355
The economy is in a state of transformation into a new system, and it is quite realistic that economic entities will be under the influence of certain risky moments. The process of risk analysis and management should be considered by an enterprise as an integral part of enterprise management in...
Persistent link: https://www.econbiz.de/10013359055
The revolution in neural networks is a significant technological shift. It has an impact on not only all aspects of production and life, but also economic research. Neural networks have not only been a significant tool for economic study in recent years, but have also become an important topic...
Persistent link: https://www.econbiz.de/10013368301
of economic uncertainty. We find that the most promising approach consists of model combinations trained on security …-specific characteristics and a limited number of well-identified, theoretically sound recovery rate determinants, including uncertainty …
Persistent link: https://www.econbiz.de/10013363030
cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …
Persistent link: https://www.econbiz.de/10014230960
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...
Persistent link: https://www.econbiz.de/10011507555
most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model … forecast-and that forecasts of future mortality uncertainty must also take account of uncertainty in the parameters of the …
Persistent link: https://www.econbiz.de/10011507620