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How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability
Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17
In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes …. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin … can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums …
Persistent link: https://www.econbiz.de/10012612558
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Index options realized returns distributions from passive investment strategies
Dapena, José P.; Siri, Julian R. - 2015
Few papers provide research about options returns, and the few available are focused in the analysis from the perspective of the long side of the option contract, i.e. the buyer that pays the price and her expected and realized option return. The main point of our research work is to provide a...
Persistent link: https://www.econbiz.de/10011392693
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Venture capital and private equity investment strategies in selected European countries
Dziekoński, Krzysztof; Ignatiuk, Sławomir - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 4, pp. 34-45
Private equity and venture capital (PE/VC) funding is the provision of equity capital by financial investors to non-quoted companies with high growth potential. It has a particular emphasis on entrepreneurial activities rather than on mature businesses. PE/VC investors differ on several...
Persistent link: https://www.econbiz.de/10011527286
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Multivariate partial distribution : a new method of pricing group assets and analyzing the risk for hedging
Dai, Feng; Liu, Hui; Wang, Ying - 2005
Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in...
Persistent link: https://www.econbiz.de/10011513103
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The management of price risk in Iranian dates : an application of futures instruments
Sherafatmand, Habibeh; Yazdani, Saeed - In: Cogent economics & finance 2 (2014) 1, pp. 1-12
Effective risk management is an important aspect of farming. Risk management involves choosing among alternatives that reduce the financial effects of the uncertainties of weather, yields, prices, government policies, and other factors that can cause wide swings in farm income. To deal with...
Persistent link: https://www.econbiz.de/10010489742
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Diversification benefits of commodities : a stochastic dominance efficiency approach
Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016
We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...
Persistent link: https://www.econbiz.de/10011473894
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Contingent reserves management : an applied framework
Caballero, Ricardo J. (contributor);  … - 2005 - This version: September 2004
One of the most serious problems that a central bank in an emerging market economy can face is the sudden reversal of capital inflows. Hoarding international reserves can be used to smooth the impact of such reversals, but these reserves are seldom sufficient and always expensive to hold. In...
Persistent link: https://www.econbiz.de/10003230146
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Value-at-Risk Model Risk
Alexander, Carol - 2011
Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model...
Persistent link: https://www.econbiz.de/10013130340
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‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management
Meucci, Attilio - 2011
We present “The Prayer”, a recipe of ten sequential steps for all portfolio managers, risk managers, algorithmic traders across all asset classes and all investment horizons, to model and manage the P&L distribution of their positions.For each of the ten steps of the Prayer, we introduce all...
Persistent link: https://www.econbiz.de/10013130637
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Sector Concentration in Loan Portfolios and Economic Capital
Duellmann, Klaus - 2010
The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...
Persistent link: https://www.econbiz.de/10013137441