Risks, Volume 12, Issue 2

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors’ downside risk. These...

We investigate the occurrence of greenwashing in the US mutual fund industry. Using panel regression methods, we test whether there exist differences in the portfolio investment behaviors of active equity funds that are self-declared to be driven by...

This study delves into a critical examination of the Size of Loss distribution patterns in the context of auto insurance during pre- and post-pandemics, emphasizing their profound influence on insurance pricing and regulatory frameworks. Through a co...

The editors of this special issue and several of the contributing authors have known Peter for a long time. We thought that the special issue will be enriched by adding a few personal notes and recollections about our interactions with Peter.

This paper investigates a dynamic liability-driven investment policy for defined-benefit (DB) plans by incorporating the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of prospect th...

The phase-type aging model (PTAM) is a class of Coxian-type Markovian models that can provide a quantitative description of the effects of various aging characteristics. Owing to the unique structure of the PTAM, parametric inference on the model is...

This study explored the complex interplay and potential risk of financial contagion across major financial indices, focusing on the Bucharest Exchange Trading Investment Funds Index (BET-FI), along with global indices like the S&P 500, Nasdaq Com...

This paper aims to examine the determinants of life insurance consumption in 30 OECD countries using panel data from 1996 to 2020. This study uses GDP per capita, Life expectancy, Urbanization, School education, and Health expenditure as the determin...

This study addresses the crucial but under-explored topic of ambiguity aversion, i.e., model misspecification, in the area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and ambiguity-averse...

The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK represent...

The main source of financing is bank loans for Portuguese small and medium-sized entities (SMEs), which implies several constraints to obtaining additional funds. Relying on the argument of Positive Accounting Theory (PAT) that accounting choices are...

Survival models have become popular for credit risk estimation. Most current credit risk survival models use an underlying linear model. This is beneficial in terms of interpretability but is restrictive for real-life applications since it cannot dis...

The present paper empirically analyzes the efficiency of European Union (EU) subsidies for farms in the Southern Great Plain region of Hungary between 2014 and 2021. The aim of this analysis was to explore whether the subsidies increased the resilien...

Several life contingency agreements are based on the assumption that policyholders have impaired life expectancy attributable to factors, such as lifestyle, social class, or preexisting health issues. Quantifying two crucial variables, augmented deat...

We obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distrib...

This paper studies a long short-term memory (LSTM)-based coherent mortality forecasting method for developing countries or regions. Many of such developing countries have experienced a rapid mortality decline over the past few decades. However, their...

As the complexity of banking technology systems increases, the prevention of technological risk becomes an endless battle. Currently, most banks rely on the experience and subjective judgement of experts and employees to allocate resources for techno...

The study compares model approaches in predictive modeling for claim frequency and severity within the cross-border cargo insurance domain. The aim is to identify the optimal model approach between generalized linear models (GLMs) and advanced machin...

One of the challenges in the healthcare sector is making accurate forecasts across insurance years for claims reserve. Healthcare claims present huge variability and heterogeneity influenced by random decisions of the courts and intrinsic characteris...

Loan-type reverse mortgage plans and sell-type home reversion plans for retirement financing are two well-known equity release plans that entitle homeowners not only to release cash from their properties but also to allow them to age in place. Recent...

In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the use of a quadratic proxy model. The Solvency II directive requires insurance companies to calculate their SCR based on the complete...

This paper is devoted to the resolution of the problem of risk management in a high-risk market environment. The goal of this paper was to study the experience of and prospects for the use of responsible innovations as tools for managing the financia...

There is growing concern that climate change poses a serious threat to the sustainability of the insurance business. Understanding whether climate warming is a cause for an increase in claims and losses, and how this cause–effect relationship w...

This study examined the efficacy of artificial intelligence (AI) technologies in predictive risk assessment and their contribution to ensuring business continuity. This research aimed to understand how different AI components, such as natural languag...

Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal fi...

Financial technology (fintech) innovations are transforming banking globally. Their adoption poses new opportunities and risks for Islamic banks with unique requirements. This study examines fintech’s implications for risk management effectiven...