Zobrazeno 1 - 10
of 2 700
pro vyhledávání: '"q-fin.RM"'
Publikováno v:
European Journal of Operational Research. 309:432-445
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business policies. H
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d149f7de9b862edf1098e030cee2e3d6
https://doi.org/10.1016/j.ejor.2022.12.041
https://doi.org/10.1016/j.ejor.2022.12.041
Publikováno v:
ASTIN Bulletin. 53:185-212
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life insurance prici
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ed462832c261b831d46257df61c28a8
https://doi.org/10.1017/asb.2023.14
https://doi.org/10.1017/asb.2023.14
Autor:
Barkhagen, Mathias, Fleming, Brian, Quiles, Sergio Garcia, Gondzio, Jacek, Kalcsics, Joerg, Kroeske, Jens, Sabanis, Sotirios, Staal, Arne
Publikováno v:
Barkhagen, M, Fleming, B, Quiles, S G, Gondzio, J, Kalcsics, J, Kroeske, J, Sabanis, S & Staal, A 2022, ' Optimising portfolio diversification and dimensionality ', Journal of Global Optimization . https://doi.org/10.1007/s10898-022-01202-7
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that connects d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8814bbabca34e6d84eea6e541c03d9ed
https://doi.org/10.1007/s10898-022-01202-7
https://doi.org/10.1007/s10898-022-01202-7
Autor:
Naoaj, Md Shah
Publikováno v:
European Journal of Business and Management Research. 8:108-112
This study investigates the factors that influence the capital adequacy of commercial banks in Bangladesh using panel data from 28 banks over the period of 2013-2019. Three analytical methods, including the Fixed Effect model, Random Effect model, an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5327c2f4016a102dcdbb0d8b2c99151f
https://doi.org/10.24018/ejbmr.2023.8.2.1887
https://doi.org/10.24018/ejbmr.2023.8.2.1887
Publikováno v:
Insurance: Mathematics and Economics. 109:1-28
The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing interests in actuarial science, whereas the conventional research has been
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e41a7dba5cdbd1e498254332f57d843c
https://doi.org/10.1016/j.insmatheco.2022.12.003
https://doi.org/10.1016/j.insmatheco.2022.12.003
Publikováno v:
IEEE Transactions on Network and Service Management. 20:858-869
Yield farming represents an immensely popular asset management activity in decentralized finance (DeFi). It involves supplying, borrowing, or staking crypto assets to earn an income in forms of transaction fees, interest, or participation rewards at
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a077d233519178d5e1a3bfb94ee4069b
https://doi.org/10.1109/tnsm.2022.3222815
https://doi.org/10.1109/tnsm.2022.3222815
Autor:
N. Packham, F. Woebbeking
Publikováno v:
Journal of Economic Behavior & Organization. 205:55-67
We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as country
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eaa7ea8fa893937f055b181865b29317
https://doi.org/10.1016/j.jebo.2022.11.002
https://doi.org/10.1016/j.jebo.2022.11.002
Autor:
Kan Chen, Tuoyuan Cheng
Publikováno v:
The Journal of Finance and Data Science. 8:296-308
Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (M
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65dc0396ada295dc950f1643b1d97470
https://doi.org/10.1016/j.jfds.2022.11.001
https://doi.org/10.1016/j.jfds.2022.11.001
Publikováno v:
Journal of Differential Equations. 337:436-459
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary problem is a variational inequality system of three functions with a degen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4382ebd3401fdb6ab88ec696384f5568
https://doi.org/10.1016/j.jde.2022.08.006
https://doi.org/10.1016/j.jde.2022.08.006
Publikováno v:
Scandinavian Actuarial Journal. 2023:477-508
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determine what dividend strategy maximises the expected present value of divi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9db1d5d987131c5710775a70672aa7bd
https://doi.org/10.1080/03461238.2022.2116725
https://doi.org/10.1080/03461238.2022.2116725