This paper is dedicated to study the discrete time compound binomial dual risk model, where the income is time-correlated, and there is a constant dividend barrier. It is close to the reality if we consider that the incomes in different periods are correlated. And in this paper, the income is...

Tokens are units digitally represented in a distributed ledger or blockchain. The various uses of this technology have the potential to transform a wide array of economic activities, from traditional commercial transactions to sophisticated financial undertakings. This paper explores the...

An arbitrage portfolio provides a cash flow that can never be negative at zero cost. We define the weaker concept of a 'desirable portfolio' delivering cash flows with negative risk at zero cost. Although these are not completely risk-free investments and subject to the risk measure used, they...

The publication of several special issues was part of the initiatives taken in 2013 to launch Risks as a new online journal. It seemed natural to devote one to this important, concrete and complex problem of managing catastrophic and heavy tailed risks. We received an enthusiastic response last...

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

This note considers the role debt-equity conversions and NPL securitization can play in addressing excessive corporate debt in China, and the corresponding burden on banks of impaired assets. It finds that such techniques can play a role, but getting their design right is critical, as is nesting...

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...