Table of contents
The impact of time discretization on solvency measurement
Hato Schmeiser, Daliana LucaThe purpose of this paper is to study how the discretization interval affects the solvency measurement of a property-liability insurance company.
Risk management and managerial mindset
Ronald William Eastburn, Alex SharlandThis paper aims to determine why so many banks do not recognize in a timely manner the inherent risks and imbalances with their risk/reward decision trade-offs, to elevate the…
Municipal bond insurance: identifying the best payment plan
Andrew Kalotay, Leslie AbreoThe volume of municipal bond insurance declined dramatically following the financial crisis of 2008. Insurance now is making a gradual comeback. Two related considerations…
A longevity basis risk analysis in a joint FDM framework
Valeria D’Amato, Mariarosaria Coppola, Susanna Levantesi, Massimiliano Menzietti, Maria RussolilloThe improvements of longevity are intensifying the need for capital markets to be used to manage and transfer the risk through longevity-linked securities. Nevertheless, the…
Risk measures computation by Fourier inversion
Ngoc Quynh Anh Nguyen, Thi Ngoc Trang NguyenThe purpose of this paper is to present the method for efficient computation of risk measures using Fourier transform technique. Another objective is to demonstrate that this…
Back-testing extreme value and Lévy value-at-risk models: Evidence from international futures markets
Sharif Mozumder, Michael Dempsey, M. Humayun KabirThe purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance…
ISSN:
1526-5943e-ISSN:
2331-2947ISSN-L:
1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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Balance SheetEditor:
- Nawazish Mirza