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Dynamic modelling in loss frequency and severity estimated:Evidence from the agricultural rice loss due to typhoons in Taiwan
BDS statistics chaotic behaviour logistic and exponential smooth transition autoregressive models
2016/3/24
The paper first adopt the BDS test to show that the BDS statistics of the time series of typhoons is a chaotic behaviour while the associated rice damage is random. The authors’ investigations show th...
Policy Bundling to Overcome Loss Aversion: A Method for Improving Legislative Outcomes
Decision Making Cost vs Benefits Policy Government Legislation Outcome or Result Welfare or Wellbeing
2015/4/23
Policies that would create net benefits for society but would also involve costs frequently lack the necessary support to be enacted because losses loom larger than gains psychologically. To reduce th...
A Utility Framework for Bounded-Loss Market Makers
Utility Framework Bounded-Loss Market Makers
2012/9/14
We introduce a class ofutility-based market makersthat always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We ...
Stochastic Target Games with Controlled Loss
Stochastic target Stochastic game Geometric dynamic programming principle Vis-cosity solution
2012/9/14
We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which
action is chosen by the other player. We pro...
Two Models of Stochastic Loss Given Default
Two Models of Stochastic Loss Risk Management Pricing of Securities
2012/6/5
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a...
A multivariate piecing-together approach with an application to operational loss data
copula domain of multivariate attraction GPD copula multivariate extreme value distribution multivariate generalized Pareto distribution
2012/6/5
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivaria...
Watershed land use and river engineering drive wetland formation and loss in the Mississippi River birdfoot delta
Watershed land Mississippi River birdfoot delta
2014/4/4
The Mississippi River basin was developed for agriculture at an unprecedented scale and intensity within the
last 200 yr. These changes favored erosion and sediment transport, which were subsequently...
Real Output Costs of Financial Crises: A Loss Distribution Approach
Real Output Costs Financial Crises Loss Distribution Approach Risk Management
2012/3/2
The adverse effects of financial crises in terms of output losses or output growth below its potential can be treated like losses from catastrophic events which have a low likelihood but a large impac...
Mitigation banking: Securing no net loss to biodiversity? A UK perspective
brief review mitigation banking principles the international context the business case
2011/9/30
The article offers a brief review of mitigation banking principles. It provides a wider ranging review in the international context of mitigation banking with some exploration of the business case pro...
Tax Loss Recipe
tax benefits investment capital gains
2011/9/17
The article explains how to use tax benefits to offset a loss of capital, known as market-neutral loss harvesting. Topics include how market-neutral strategies lessen risk while maintaining investment...
Economic Growth, Climate Change, Biodiversity Loss: Distributive Justice for the Global
biodiversidad biodiversity cambio climático climate change
2011/9/11
Economic growth-the increase in production and consumption of goods and services-must be considered within its biophysical context. Economic growth is fueled by biophysical inputs and its outputs degr...
Application of catastrophe loss modelling to promote property insurance in developing countries
catastrophe loss modelling insurance risk management Tehran
2011/9/6
Many mega cities in developing countries are exposed to the sources of natural catastrophes, particularly seismic activity. A high level of seismic hazard in some of these places, coupled with a relat...
A simulation study of Basel II expected loss distributions for a portfolio of credit cards
Basel II consumer credit expected loss simulation
2011/8/22
Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups....
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Calculation of aggregate loss distributions
aggregate loss distribution compound distribution
2010/10/21
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Clo...