Purpose – Demonstrates the feasibility of, and introduces a practical approach to enhancing, reinsurance efficiency using index‐based instruments. Design/methodology/approach – First reviews the general mathematical framework of reinsurance optimization. Next, illustrates how index‐based...

Purpose – Discusses why it is necessary to align a mathematical model with the organization in order to achieve the desired results. The structure of a model's input must fit with the structure of data collection in the firm, and the output must be consistent with the decision structure....

Purpose – This paper aims at developing an early warning signal model for predicting corporate default in emerging market economy like India. At the same time, it also aims to present methods for directly estimating corporate probability of default (PD) using financial as well as...

Purpose – The purpose of this paper is to develop a hybrid logistic model by using the inputs obtained from BSM equity‐based option model described in the companion paper, “Mapping corporate drift towards default – Part 1: a market‐based approach” that can more accurately predict...

Purpose – One of the agency conflicts between investors and managers in fund management is reflected by risk‐taking behaviors led by their different goals. The investors may stop their investments in risky assets before the end of the investment horizon to minimize risk, while the managers...

Purpose – Although the mean‐variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large‐scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk...

Purpose – By reviewing recent literature, it is noticeable that considerable attention has been given to the relationship between all Atlantic hurricanes and those that make landfall in the USA. However, less research has been done regarding landfall frequency and identifying spatial areas...