A theoretical non-risk model was hypothesized to Harvest response to production and asymmetric explain the monthly harvest of food-size catfish. price risk was analyzed using an ordinary least After initial estimation, risk variables were incorposquares model. Statistically significant responses to rated into the model to account for production, input production-quality and output price risk we...

In risk management, ignoring the dependence among various types of claims often results in over-estimating or under-estimating the ruin probabilities of a portfolio. This paper focuses on three commonly used ruin probabilities in multivariate compound risk models, and using the comparison methods, shows how some ruin probabilities increase, whereas the other decreases, as the claim dependence g...

* Marco Tarenghi contributed to the numerical part on the Equity Return Swap example. We are grateful to Aurelien Alfonsi, Eymen Errais and Massimo Morini for comments and suggestions. Umberto Cherubini helped us with references and further suggestions.

This paper discusses risk modeling and risk management in information and communications technology (ICT) systems for which the attack impact distribution is heavy tailed (e.g., power law distribution) and the average risk is unbounded. Systems with these properties include billing infrastructures used to charge customers for services they access. Attacks against billing infrastructures can be ...

In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of byclaim may be delayed depending on associated main claim amount. Using Rouché’s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent ...

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when the reserve drops below the critical value. The company controls the dividend ...

We present the results of an evaluation in which the objective was to assess how useful testing is for validating and correcting security risk models. The evaluation is based on two industrial case studies. In the first case study we analyzed a multilingual financial Web application, while in the second case study we analyzed a mobile financial application. In both case studies, the testing yie...

A typical shortcoming of most current credit portfolio models is the lack of a stochastic modeling of risk factors, such as interest rates or credit spreads, during the revaluation process at the risk horizon. Within the simple credit risk model underlying the Internal Ratings-based approach of Basel II with incorporated correlated interest rate risk the effect which results from neglecting the...