The discrete-time risk model with correlated classes of business is examined. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjustment coefficient is also studied. Numerical examples are presented. © 2000 Elsevier Science B.V. All rights reserved. MSC: IM11; IM12; IM13; IM30

* 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.

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 ...

The purpose of this study was to investigate the role of non-financial information analysis and risk-return analysis along with financial information in increasing the selected banks and financial institutions of Tehran Stock Exchange portfolio efficiency. To evaluate the efficiency of the portfolio, the Treynor's ratio was used and attempted to determine the Treynor's ratio of the selected opt...

We investigate optimal consumption policies in the liquidity risk model introduced in [5]. Our main result is to derive smoothness C results for the value functions of the portfolio/consumption choice problem. As an important consequence, we can prove the existence of the optimal control (portfolio/consumption strategy) which we characterize both in feedback form in terms of the derivatives of ...

In this paper we study the distributional properties (mean, variance, characteristic function) of the discounted warranty cost (DWC) for general warranty programs including free replacement (FRW) pro rata (PRW) and FRW/PRW in the context of perfect repair. Since only failure times and types are needed in the derivation of these properties, the reliability of the systems is modeled according to ...

This paper introduces a Value-at-Risk (VaR) model to generate route choices for a hazmat shipment based on a specified risk confidence level. The objective is to determine a route which minimizes the likelihood that the risk will be greater than a set threshold. Several properties of the VaR model are established. An exact solution procedure is proposed and tested to solve the single-trip probl...

financial companies are constantly exposed to the dangers of risk. in the last few years for various reasons, measuring value at risk (var) has become increasingly important for financial firms. the study of multiple measures of risk, var measure with a new approach provides the ground for calculation of market risk. common approaches to risk measurement due to complicated, nonlinear and changi...

This paper presents a generic, high-level risk assessment of the global operation of ocean-going liquefied natural gas (LNG) carriers. The analysis collects and combines information from several sources such as an initial hazid, a thorough review of historic LNG accidents, review of previous studies, published damage statistics and expert judgement, and develops modular risk models for critical...