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Monte Carlo simulation of the moments of a copula-dependent risk process with Weibull interwaiting time

Alhabshi, Sharifah Farah Syed Yusoff; Zamzuri, Zamira … - In: Risks : open access journal 9 (2021) 6, pp. 1-13

The widely used Poisson count process in insurance claims modeling is no longer valid if the claims occurrences exhibit dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting process to allow for dispersed datasets. A copula...

Persistent link: https://www.econbiz.de/10012598393

A queueing model with server breakdowns, repairs, vacations, and backup server

Chakravarthy, Srinivas R.; Shruti; Kulshrestha, Rakhee - In: Operations research perspectives 7 (2020), pp. 2-13

Queueing models wherein having a backup server during the absences (caused by vacations and breakdowns) of the main server have found many applications in practice. Such services offered by a backup server can be viewed as the (main) server working during a vacation or during a breakdown period....

Persistent link: https://www.econbiz.de/10012197848

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …) using pseudo-statistics (pseudo-variance, pseudo-volatility, pseudo-correlation, and pseudo-covariance). As a result, we …

Persistent link: https://www.econbiz.de/10014370400

Coherent diversification measures in portfolio theory : an axiomatic foundation

Koumou, Gilles Boevi; Dionne, Georges - In: Risks : open access journal 10 (2022) 11, pp. 1-19

We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model. We propose a set of eight desirable axioms for this class of diversification measures. We name the measures satisfying these axioms coherent correlation diversification...

Persistent link: https://www.econbiz.de/10014225949

Examining the correlations between industry 4.0 assets, external and internal risk factors and business performance among hungarian food companies

Erdei, Edina; Kossa, György; Kovács, Sándor; Popp, … - In: Amfiteatru economic : an economic and business research … 24 (2022) 59, pp. 143-158

The current maturity of enterprises has a significant development potential for the introduction of new technologies, and requires significant physical, mental and material resources. In this research, we examined the impact of the risk factors of Hungarian food production companies, Industry...

Persistent link: https://www.econbiz.de/10013040614

Manfred Deistler and the general-dynamic-factor-model approach to the statistical analysis of high-dimensional time series

Hallin, Marc - In: Econometrics : open access journal 10 (2022) 4, pp. 1-9

For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In...

Persistent link: https://www.econbiz.de/10013533262

The dynamic return and volatility spillovers among size-based stock portfolios in the Saudi market and their portfolio management implications during different crises

Al-Nassar, Nassar S. - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-30

This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end, we utilize the weekly returns on the MSCI...

Persistent link: https://www.econbiz.de/10014414270

Grant, William C. - In: Games 14 (2023) 3, pp. 1-16

In the game of rock-paper-scissors with three players, this paper identifies conditions for a correlated equilibrium that differs from the mixed strategy Nash equilibrium and is evolutionarily stable. For this to occur, the correlation device attaches more probability to three-way ties and...

Persistent link: https://www.econbiz.de/10014426258

Minimum variance portfolio in ASEAN-6 stock markets diversification : a Vietnamese perspective

Tri Hoang - In: Cogent business & management 9 (2022) 1, pp. 1-23

Using daily and monthly MSCI index returns of Association of Southeast Asian Nations (ASEAN) markets for the period 2007 and 2021, this study aims to examine if there are any advantages to diversification in ASEAN markets for Vietnamese investors and if those perks have altered between pre and...

Persistent link: https://www.econbiz.de/10014429106

Co-movements between an Asian technology stock index and cryptocurrencies during the COVID-19 pandemic : a bi-wavelet approach

Arief Rijanto - In: Economies : open access journal 11 (2023) 9, pp. 1-20

This study investigates the co-movement patterns of Asia technology stock indices and cryptocurrencies during the COVID-19 pandemic. The analysis examines Bitcoin and Ethereum, China's Tech index (XA90), and India's Tech index (NSEIT) from 2017 to 2021, representing both before and during...

Persistent link: https://www.econbiz.de/10014432024