The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how … claim triangles support our results. The appropriateness of the Solvency II risk margin on a one-year horizon and of the … IFRS 17 risk adjustment in the long run largely vary by the chosen risk model. Despite the fact that IFRS 17 does not …

innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and …Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative … approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The …