Risks, Volume 11, Issue 9

The purpose and novelty of this article is to investigate the extent to which artificial intelligence chatbot ChatGPT can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the form of quest...

Financial technologies (fintechs) are continuously expanding, across different markets and financial services. While financial technologies bring many opportunities, such as reduced costs and extended inclusion, they also bring risks, among which inc...

Accurate forecasting of insurance claims is of the utmost importance for insurance activity as the evolution of claims determines cash outflows and the pricing, and thus the profitability, of the underlying insurance coverage. These are used as input...

Modelling claim frequency and claim severity are topics of great interest in property-casualty insurance for supporting underwriting, ratemaking, and reserving actuarial decisions. Standard Generalized Linear Models (GLM) frequency–severity mod...

In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper’s motivation derives from the fact that in many financial markets, the inter...

In this article, we study stochastic orders over an interval. Mainly, we focus on orders related to the Laplace transform. The results are then applied to obtain a bound for heavy-tailed distributions and are illustrated by some examples. We also ind...

Healthcare fraud is intentionally submitting false claims or producing misinterpretation of facts to obtain entitlement payments. Thus, it wastes healthcare financial resources and increases healthcare costs. Subsequently, fraud poses a substantial f...

This study demonstrates the significant impact of market sentiment, derived from social media, on the daily price prediction of cryptocurrencies in both bull and bear markets. Through the analysis of approximately 567 thousand tweets related to twelv...

This study assesses the dynamic relationship between macroeconomic factors and bank asset quality based on changes in the condition of stock market returns. A dynamic panel two-step system, the Generalized Method of Moments (system GMM) model, is emp...

The goal is to create a systemic risk profile of companies during the COVID-19 crisis, which reflects their cause-and-effect relationships and risk management. The research objects are the following types of risks for companies listed in “Globa...

Constructing an accurate model for insurance losses is a challenging task. Researchers have developed various methods to model insurance losses, such as composite models. Composite models combine two distributions: one for part of the data with small...

Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an “uninsurable” event, pandemic bonds caught the at...

Cyber security importance has escalated globally, driven by its pivotal role in shaping daily life, encompassing both personal and non-personal aspects. Cyber security breach probability functions play a crucial role in comprehending how cyber securi...

In light of the function of Internal Auditing and its significance in assessing and ensuring the validity of data, information, reports, and high lists generated by the Accounting Information System and improving its credibility and dependability, th...

We apply a Markov-switching Bayesian vector autoregression (MSBVAR) model to mortality forecasting. MSBVAR has not previously been applied in this context, and our results show that it is a promising tool for mortality forecasting. Our model shows be...