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Multivariate functional time series forecasting : application to age-specific mortality rates
Gao, Yuan; Shang, Han Lin - In: Risks : open access journal 5 (2017) 2, pp. 1-18
forecast mortality rates in multiple populations. This model incorporates the merits of existing models in that it excludes … applications to the age-and sex-specific mortality rates in Switzerland and the Czech Republic. The point forecast errors of … model provides improved forecast accuracy in most cases. …
Persistent link: https://www.econbiz.de/10011643355
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Equivalent risk indicators : VaR, TCE, and beyond
Faroni, Silvia; Le Courtois, Olivier; Ostaszewski, … - In: Risks : open access journal 10 (2022) 8, pp. 1-19
While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate...
Persistent link: https://www.econbiz.de/10013368509
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How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure
Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17
This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim risk exposure of a position or a portfolio. MaxVaR is...
Persistent link: https://www.econbiz.de/10012293244
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Conditional variance forecasts for long-term stock returns
Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22
In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in …
Persistent link: https://www.econbiz.de/10012127861
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Ruin probabilities with dependence on the number of claims within a fixed time window
Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...
Persistent link: https://www.econbiz.de/10011507555
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Risk minimization for insurance products via F-doubly stochastic Markov chains
Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26
We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...
Persistent link: https://www.econbiz.de/10011507634
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On double value at risk
Zhang, Wanbing; Zhang, Sisi; Zhao, Peibiao - In: Risks : open access journal 7 (2019) 1/31, pp. 1-22
Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double...
Persistent link: https://www.econbiz.de/10012015826
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Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework
Li, Jackie; Kogure, Atsuyuki; Liu, Jia - In: Risks : open access journal 7 (2019) 1/11, pp. 1-12
In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these three risk components simultaneously. Our numerical results...
Persistent link: https://www.econbiz.de/10012018623
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Dealing with drift uncertainty : a Bayesian learning approach
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...
Persistent link: https://www.econbiz.de/10012018698
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Generalized multiplicative risk apportionment
Wang, Hongxia - In: Risks : open access journal 7 (2019) 2/65, pp. 1-9
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 aversion measure and decreasing relative nth-degree...
Persistent link: https://www.econbiz.de/10012018921