Journal of Risk Finance: Volume 13 Issue 5

The impact of natural hedging on a life insurer's risk situation

Nadine Gatzert, Hannah Wesker

Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the…

A multi‐year risk capital concept for internal models and enterprise risk management

Dorothea Diers

The purpose of this paper is to illustrate how risk capital can be calculated and allocated in a multi‐year context. This is an important issue, since strategic management and…

The determinants of frequency and severity of operational losses in Tunisian insurance industry

Wael Hemrit, Mounira Ben Arab

The purpose of this paper is to examine the determinants of operational losses in insurance companies.

Zero‐modified discrete distributions for operational risk modelling

Younès Mouatassim

The purpose of this paper is to introduce the zero‐modified distributions in the calculation of operational value‐at‐risk.

Small businesses and risk contingent credit

Calum G. Turvey, Vicki L. Bogan, Cao Yu

Firms facing significant income volatility can often suffer from downside risk such that return on assets is insufficient to meet fixed financial obligations. The purpose of this…

The tale of the tail: extreme‐value patterns of financial returns

Angelo Corelli

The purpose of this paper is to give a review of the standard approaches to extreme value theory. Special focus on the tail of the distribution is underlined, in particular…