The main purpose of this study was to explore the relationship between market and accounting measures of risk and the … coefficients as a systematic risk measure. The research considered classical and downside risk measures. The profitability of a … company was expressed as ROA and ROE. When determining the downside risk, two approaches were employed: the approach by Bawa …

evaluating the influence of perceived risk and perceived value on their cryptocurrency adoption decision. The retail investors …’s, perceived value was found to have a significant influence on cryptocurrency adoption. Meanwhile, perceived risk had no …

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

short-term investment propensities are more sensitive to international and domestic factors and less to risk factors, and … tendencies are found to be more sensitive to international and risk factors as opposed to domestic factors, and influenced by …

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 suboptimal: (1) longer horizon risk factors (value, growth, etc …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …