________________________________________________________________________ Abstract. The Firm-Value Risk Model combines the technology of actuarial optimal dividends models with insights regarding financial frictions from financial economics, especially as they apply to risk transfer in (re)insurance firms. This paper illustrates, by numerical solution of a set of case studies, how certain styliz...

According to the nature of their activities, banks are exposed to various types of risks. Hence, risk management is at the heart of financial institutions management. In this study, we intend to summarize the information content of bank financial statements on diverse risks faced by banks and then determine how stock markets react to bank's risk management behavior. The methodology used in this...

During recent earthquakes, seaports have demonstrated that they can be highly vulnerable to seismic motion and associated ground failures. Poor seismic performance of seaports has resulted in billions of dollars of losses. Seaports are critical nodes in regional transportation networks and have an important impact on the economy of the area. Thus, the need for risk analysis of port facilities i...

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems with convex risk functions.

The paper attempts to find the evidence of a multi factor model for explaining stock price returns in the Indian stock market. It makes use of the technique of statistical factor analysis. The results of the factor analysis show that a five factor model is appropriate for explaining the returns generation process in India. The explanatory power of this five factor model is significantly better ...

systemic risk is the risk of collapse in the financial system. due to the financial crisis that hit the world economy in 2008, the study of systemic risk in the banking sector became more attractive for researchers. in this research we study systemic risk in the iranian banking sector by using a famous systemic risk measure, the ∆covar. to compute the measure, we employ dynamic conditional corr...

This chapter studies structural and reduced-form credit risk models under incomplete information using techniques from stochastic filtering. We start with a brief introduction to stochastic filtering. Next we cover the pricing of corporate securities (debt and equity) in structural models under partial information. Furthermore we study the construction of a dynamic reduced-form credit risk mode...

We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total discounted dividends paid prior t...

Two imprecise individual risk models of insurance are presented and studied in this paper. The models use the beta-binomial and the negative binomial imprecise statistical models, which can be regarded as sets of the corresponding distributions of claims. The sets of distributions strongly depend on prior statistical information about claims and their use can give an advantage when we have litt...