Risks, Volume 9, Issue 4

The central issue of this paper is analysis and resulting proposals to help unsophisticated pension participants achieve pension portfolios that match their level of risk aversion when there is a large amount of unexplained heterogeneity in risk aver...

The aim of this article is to use multiple discriminant analysis (MDA) and logit models to assess the risk of bankruptcy of companies in the Polish tourism sector in the crisis conditions caused by the COVID-19 pandemic. A review of the literature is...

Although a large number of mortality projection models have been proposed in the literature, relatively little attention has been paid to a formal assessment of the effect of model uncertainty. In this paper, we construct a Bayesian framework for emb...

A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurat...

The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics....

Choosing solutions under risk and uncertainty requires the consideration of several factors. One of the main factors in choosing a solution is modeling the decision maker’s attitude to risk. The expected utility theory was the first approach that all...

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company’s surplus process is assumed to follow a Brow...

The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, Ethereum, Ripple, Litecoi...

The authors Monica Violeta Achim and Sorin Nicolae Borlea structured their book entitled “Economic and Financial Crime: Corruption, shadow economy, and money laundering” in four major parts [...]

This work aims to verify an authorial forecasting method from a system of interdependent equations, which is based on empirical equations of the structural form and is mainly intended for econometric micromodels. The prediction procedure will be anal...

The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on vario...

The broadly used pay-as-you-go (PAYG) pension system is intrinsically wrong. The essence of the problem is that the PAYG system distributes the yield of raising children, i.e., of human capital investment (which is essentially the pension contributio...

We evaluate the impact of timing on decision outcomes when both the timing and the relevant decision are chosen under uncertainty. Sports betting provides the testing ground, as we exploit an original dataset containing more than one million online b...

The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for...

The aim of this paper is to present life expectancy of both genders depending on their income and to determine the impact of a possible regularity on the state pension policy. The study was based on the income of pensioners in Poland (over 5 million...

Modern management means making managerial decisions in many situations—including the administrative ordering of matters of a bankrupt enterprise. The situation in which the court approves the opening of bankruptcy proceedings is strictly regulated by...

The COVID-19 virus has hit the economy around the world. In Poland, SMEs have the greatest problems with doing business. Border blockades and the quarantine for enterprises in virtually all industries throughout Poland greatly complicated the supply...

The COVID-19 pandemic has shown how important it is to prepare one’s own financial budget for the unexpected loss of income. In this dimension, the financial education of the society plays an invaluable role. It allows us to account for events that m...

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying...

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the perf...

This article describes the techniques employed in the production of a synthetic dataset of driver telematics emulated from a similar real insurance dataset. The synthetic dataset generated has 100,000 policies that included observations regarding dri...

Nepotism and cronyism are forms of favoritism towards certain people in the workplace. For this reason, they constitute a problem for organization managers, ethicists and psychologists. Identifying the impact of COVID-19 pandemic on the increase of n...