Journal of Risk Finance: Volume 11 Issue 2

Subject:

Table of contents

Infinite‐mean losses: insurance's “dread disease”

Michael R. Powers

The purpose of this paper is to consider the existence and significance of heavy‐tailed – and in particular, infinite‐mean – insurance losses.

559

Risk‐return optimization with different risk‐aggregation strategies

Stan Uryasev, Ursula A. Theiler, Gaia Serraino

New methods of integrated risk modeling play an important role in determining the efficiency of bank portfolio management. The purpose of this paper is to suggest a systematic…

4360

The determinants of terrorist shocks' cross‐market transmission

Konstantinos Drakos

The purpose of this paper is to explore the determinants of the cross‐market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national…

1249

Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey

Alper Ozun, Atilla Cifter, Sait Yılmazer

The purpose of this paper is to use filtered extreme‐value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of…

1051

Risk reduction using wavelets for denoising principal‐components regression models

Salwa Ben Ammou, Zied Kacem, Nabiha Haouas

In this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal‐components regression (PCR). The purpose of this paper is…

599

On a class of renewal queueing and risk processes

K.K. Thampi, M.J. Jacob

The purpose of this paper is to investigate how queueing theory has been applied to derive results for a Sparre Andersen risk process for which the claim inter‐arrival…

Interest rates, commodity prices, and the cost‐of‐carry model

Jacques A. Schnabel

The purpose of this paper is to examine the nexus between interest rate changes and commodity spot prices.

1264

Risk management in a pure unit root

Marcus Davidsson

The purpose of this paper is to communicate the science and art of stop losses.

2830
Cover of Journal of Risk Finance

ISSN:

1526-5943

Online date, start – end:

1999

Copyright Holder:

Emerald Publishing Limited

Open Access:

hybrid

Merged from:

Balance Sheet

Editor:

  • Nawazish Mirza