This paper tests a wide range of momentum and reversal strategies at different trading frequencies for the complete Chinese commodity futures market dataset. Accurate estimates of transaction costs for each commodity and the minute level futures prices are utilized to obtain the most realistic...

The behavior of stock prices has been studied extensively throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, we provide another perspective using a network theoretical approach to investigate how crises affected the behavior...

In the insurance industry, the number of product-specific policies from different companies has increased significantly. The strong market competition has boosted the demand for a competitive premium. In actuarial science, scant literature still exists on how competition actually affects the...

The persistence analysis of short- and long-term interaction and causality in the international financial markets is a key issue for policy makers and portfolio investors. This paper assesses the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model...

The main objective of this paper is to model the losses caused by frost events and use it to price frost insurances. Since the data on frost events are either unavailable or rarely available, we have chosen to obtain a model for frost losses based on temperature by using some fundamental...

Most catastrophe bonds issued in the primary market are sold by the same issuers every year, and within each year. Significant similarities in the bond characteristics are therefore anticipated, which ultimately leads to similarities in pricing for these bond issuers over time. In this paper,...

The global shift towards defined-contribution pension schemes has been accompanied by asymmetric risks and new responsibilities for households to plan and fund effectively their own retirement over the years. In this study, expressing and combining preferences for consumption, investment,...

We propose new Unconditional, Independence and Conditional Coverage VaR-forecast backtests for the case of annuity pricing under a Bayesian framework that significantly minimise the direct and indirect effects of $p$-hacking or other biased outcomes in decision-making, in general. As a...