Earnings announcements (EADs) are corporate events that provide investors with funda- mentally important information. The prospect of stock price rises may also contribute to EADs’ increased volatility. Using data on extremely short-term options, we study that bi-modality in the risk-neutral...

We present a two-stage lottery model with generalized Wang transform as a probability weighting function to formally derive investors’ demand for the lottery-like security. Probability overweight on higher expected payoffs accounts for investors’ overvaluation of the security with moderately...

We extend the standard Cramér-Lundberg model to take the waiting time from occurrence to notification, and notification to settlement into account. Using this extended model and fixing a time of consideration, a prediction of the total outstanding liability of insurance claims that have...

Stop-loss and limited loss random variables are two important transforms of a loss random variable and appear in many modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured by risk measures. When only partial information...

We propose a new weighting function, generalized Wang transform, derived from normality invariance. This function takes various shapes, including concave, convex, S-shaped and inverse S-shaped functions, depending on the range of parameters and distinguishes the curvature and elevation of...

This study estimates the probability of a defaulted company being cured on the basis of data from a large international sample of defaulted companies. In particular, this study examines which of the characteristics of a defaulted company and its loan might help predict whether that company is...

This research studies a dynamic reinsurance model for an ambiguity-averse insurer. The insurer can manage its risk exposure through the purchase of reinsurance and the issuance of catastrophe bonds (CAT bonds) which are linked to an exogenous trigger index. The insurer worries about the veracity...

In this paper, we investigate an Erlang risk model wherein the premium rate and claim size distribution are dynamically adjusted based on the inter-arrival time and an independent random time window. The ruin probabilities within this model adhere to a system of fractional integro-differential...

Recently, Abd EL-Baset and Ghazal (2020) introduced the exponentiated additive Weibull distribution, which is very useful in modeling the reliability analysis of a product, such as reliability of decision-making and cost-benefit analysis. The products inherently decay with usage and age,...