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...

Our existing approach to search/filtering involves a dynamic clustering technique where the threshold for formation of new clusters and the threshold for visibility of ‘sufficiently important’ clusters can be specified by the user when the topic is presented to the system. The TREC requirements for multi-query support and simulation of user judgment responses led us to modify the single set-of-...

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...

In this paper, we show that the delayed Sparre Andersen insurance risk model in discrete time can be analyzed as a doubly infinite, right skip-free Markov chain. We then describe how matrix analytic methods can be used to establish a computational procedure for calculating the probability distributions associated with fundamental ruin-related quantities of interest, such as the time of ruin, th...

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the Journal of Econometrics on “Econometric Analysis of Financial Derivatives” is to highlig...

We develop an algebraic framework for the description and analysis of financial behaviours, that is, behaviours that consist of transferring certain amounts of money at planned times. To a large extent, analysis of financial products amounts to analysis of such behaviours. We formalize the cumulative interest compliant conservation requirement for financial products proposed by Wesseling and va...

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...

We describe an approach to the evaluation of the moments of the time of ruin in the classical Poisson risk model. The methodology employed involves the expression of these moments in terms of linear combinations of convolutions involving compound negative binomial distributions. We then adapt the results for use in the practically important case involving phase-type claim size distributions. We...

The daily number of individuals practising the group dynamics of consciousness-group practice of the Transcendental Meditation and TM-Sidhi programme-in Great Britain was compared with daily fluctuations in the Financial Times Actuaries 'All Share' (FTA) Index. The FTA Index is a measure of the current market capitalizations of the 750 largest companies in Great Britain, and may be seen as an i...