June 2019 - 36 articles
To reduce the negative impacts of risks in farming due to climate change, the government implemented agricultural production cost insurance in 2015. Although a huge amount of subsidy has been allocated by the government (80 percent of the premium), f...
XGBoost is recognized as an algorithm with exceptional predictive capacity. Models for a binary response indicating the existence of accident claims versus no claims can be used to identify the determinants of traffic accidents. This study compared t...
It is known that the classical ruin function under exponential claim-size distribution depends on two parameters, which are referred to as the mean claim size and the relative security loading. These parameters are assumed to be unknown and random, t...
In this research, trade credit is analysed form a seller (supplier) perspective. Trade credit allows the supplier to increase sales and profits but creates the risk that the customer will not pay, and at the same time increases the risk of the suppli...
This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative nth-degree risk ave...
One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads. Geometric Brownian...
This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in the recovery in a fractional recovery of the market value. This approach is a first step toward...
We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted subexponent...
In the past two decades increasing computational power resulted in the development of more advanced claims reserving techniques, allowing the stochastic branch to overcome the deterministic methods, resulting in forecasts of enhanced quality. Hence,...
This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2),...
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