A method of predictability analysis of future values of financial time series is described. The method is based on normalized mutual information functions. In the analysis, the use of these functions allowed to refuse any restrictions on the distributions of the parameters and on the correlations between parameters. A comparative analysis of the predictability of financial time series of Tel Av...

The system of distributing financial aid dollars using needs analysis formulae implicitly imposes a financial aid tax on assets. Existing studies provide mixed evidence of the influence of this implicit tax on assets on wealth accumulation. This paper attempts to contribute to the literature on this topic by examining the sensitivity of results to various assumptions, specifications, and catego...

In Islamic Finance (IF hereafter), the safety-first rule of investing (hifdh almal) is held to be of utmost importance. According to the honesty principle (amanah), the Islamic portfolio manager (mudharib) is committed to do his best to fulfill this investing rule. This involves the use of the most appropriate management tools. The use of the normal assumption in the financial modeling is growi...

The discrete-time risk model with correlated classes of business is examined. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjustment coefficient is also studied. Numerical examples are presented. © 2000 Elsevier Science B.V. All rights reserved. MSC: IM11; IM12; IM13; IM30

This paper investigates how China’s stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China’s regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The res...

In this paper we extend the classical Cramér-Lundberg risk model by including tax payments. The considered tax rule is to pay a certain proportion of the premium income, whenever the portfolio is in a profitable situation. It is shown that the resulting survival probability is a power of the survival probability without tax. Furthermore, an explicit expression for the expected discounted total ...

We consider finite time ruin problems in the Markov-modulated risk model. We start by considering the number of claims and the aggregate claim amount over a finite time interval, in each case giving both a general approach for an arbitrary number of environment states and a specific approach for the special case when the number of environment states is two. We then consider the density of the t...

In this paper, the author aim to present a threat and risk-driven methodology to security requirements engineering. The chosen approach has a strong focus on gathering, modeling, and analyzing the environment in which a secure ICT-system to be built is located. The knowledge about the environment comprises threat and risk models. As presented in the paper, this security-relevant knowledge is us...

Periodicity and Ruin Probabilities for Compound Non-Homogenous Poisson Processes Compound non-homogenous Poisson processes with periodic claim intensity rates are stiidied in this work. A risk process related to a short term periodic environment and the periodicity for its compound claim counting process are discussed. The ruin probabilities of compo~md non-homogenous Poisson processes with per...

The paper aims to investigate empirically the effects of several types of financial restraints on financial development for the case of the Iran. Two hypotheses addressed and discussed in the context of the McKinnon/Shaw and the monopoly bank model. A conditional co-integration model has been employed to carry out the empirical investigations. The long and short-run analysis show that fin...