Zusammenfassung Aufgrund der arbeitsintensiven Dienstleistungen eines Call Centers ist die auf die Optimierung der Personalkosten zielende Personalbedarfs- und Personaleinsatzplanung eine wichtige Aufgabe des Call Center-Managements. In diesem Beitrag wird die Grundkonzeption eines Prognose- und...

Abstract Population aging challenges pay-as-you-go pension systems. Solving the associated funding problem constantly motivates reform processes. In addition to an aging population, specific regulations of the German public pension system lead to an increasing financial burden of national...

In recent years, the International Accounting Standards Board (IASB) and its International Financial Reporting Standards (IFRSs) have made great strides toward achieving global accounting convergence. Various countries, including Japan and Canada, are either adopting or converging their national...

Abstract The goal of this research was to use Bayesian switching volatility models to model the stock returns of the GCB, bank in Ghana. Monthly stock prices of GCB bank for the period of 138 months were used for the study. The two-state Markov-Switching GARCH models were used in the study to...

Abstract In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk...

Abstract Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and computational improvements to the Rearrangement...

Abstract In this paper, we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular focus on expected shortfall. We...

Abstract We introduce an adaptive algorithm to estimate the uncertain parameter of a stochastic optimization problem. The procedure estimates the one-step-ahead means, variances and covariances of a random process in a distribution-free and multidimensional framework when these means, variances...