Embrechts and Veraverbeke investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities ψ(x) under the assumption that the claim size is heavy-tailed, which is regarded as a classical result in the context of extremal value theory. In this note we extend this result to the delayed renewal risk model.

The paper by Heider and Hoerova (2009) is ambitious. It studies the interaction between secured interbank lending, unsecured interbank lending, and banks’ portfolio choices. It is motivated by a puzzling empirical observation, namely the “decoupling of secured and unsecured lending rates” in the Great Financial Crisis of 2007–09. The observation made by Heider and Hoerova is that on August 9, 2...

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We examine the correlation in credit risk using credit default swap (CDS) data. We find that the observable risk factors at the firm, industry, and market levels and the macroeconomic variables cannot fully explain the correlation in CDS spread changes, leaving at least 30 percent of the correlation unaccounted for. This finding suggests that contagion is not only statistically but also economi...

In general, conglomeration leads to a diversification of risks (the diversification benefit) and to a decrease in shareholder value (the conglomerate discount). Diversification benefits in financial conglomerates are typically derived without accounting for reduced shareholder value, even though a comprehensive analysis requires competitive conditions within the conglomerate, i.e., shareholders...

The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a portfolio is the sum of a random number of claims. If the tail of the claim number is heavier than the ...

Several dimensions of early identification are discussed, including the relationship between early identification and prevention. A preventive component is described for the various forms of early identification—child find, screening, assessment, and program planning. Also discussed are recently published guidelines for screening and assessment and the assumptions on which these guidelines are ...

This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inte...

This paper discusses the uncertain portfolio selection problem when security returns cannot be well reflected by historical data. It is proposed that uncertain variable should be used to reflect the experts’ subjective estimation of security returns. Regarding the security returns as uncertain variables, the paper introduces a risk curve and develops a mean-risk model. In addition, the crisp fo...