Table of contents
Infinite‐mean losses: insurance's “dread disease”
Michael R. PowersThe purpose of this paper is to consider the existence and significance of heavy‐tailed – and in particular, infinite‐mean – insurance losses.
Risk‐return optimization with different risk‐aggregation strategies
Stan Uryasev, Ursula A. Theiler, Gaia SerrainoNew methods of integrated risk modeling play an important role in determining the efficiency of bank portfolio management. The purpose of this paper is to suggest a systematic…
The determinants of terrorist shocks' cross‐market transmission
Konstantinos DrakosThe purpose of this paper is to explore the determinants of the cross‐market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national…
Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey
Alper Ozun, Atilla Cifter, Sait YılmazerThe purpose of this paper is to use filtered extreme‐value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of…
Risk reduction using wavelets for denoising principal‐components regression models
Salwa Ben Ammou, Zied Kacem, Nabiha HaouasIn this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal‐components regression (PCR). The purpose of this paper is…
On a class of renewal queueing and risk processes
K.K. Thampi, M.J. JacobThe purpose of this paper is to investigate how queueing theory has been applied to derive results for a Sparre Andersen risk process for which the claim inter‐arrival…
Interest rates, commodity prices, and the cost‐of‐carry model
Jacques A. SchnabelThe purpose of this paper is to examine the nexus between interest rate changes and commodity spot prices.
Risk management in a pure unit root
Marcus DavidssonThe purpose of this paper is to communicate the science and art of stop losses.
ISSN:
1526-5943e-ISSN:
2331-2947ISSN-L:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza