This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain–loss ratio of...

This study analyses the determinants of corporate liquidity for the U.S. property–liability insurance industry from 2006 to 2010. Unlike previous studies using the ordinary least squares (OLS) approach, this study applies the quantile regression (QR) method. The QR method provides further...

For treating multiple objectives decision making problems with fuzzy goals and different importance, various kinds of fuzzy goal programming (FGP) models have been developed in the past three decades. Among them, two most widely used methods are: (1) weighted FGP, where the importance of the...

In this article we examine the persistence nature of Taiwan's aggregate output fluctuations by using the 'innovation regime-switching' (IRS) model in which the effect of an innovation may be permanent or transitory, depending on an unobservable state variable that follows a first order Markov...

The influence of climate variability on agricultural production and financial risks faced by an individual or an institution has been the center of the public discussion in the recent years. The changing weather patterns and environmental conditions could cause substantial unpredicted economic...

In this article, we propose a new test for Markov switching models. Unlike the tests in the existing literature (e.g. Hansen, 1992; Garcia, 1998; Cho and White, 2007), we focus on testing the null of two regimes, instead of one single regime, in a switching framework. To implement our test, we propose a...