This paper evaluates the scale of productivity change of the Bank of Serbia over the period 20072010. In this research the emphasis is put on measuring the productivity based on information from the financial statements using Data Envelopment Analysis (DEA) method and Malmquist index to estimate the individual bank efficiency and productivity changes within this period. The Malmquist productivi...

We discuss the ideal gas like models of a trading market. The effect of savings on the distribution have been thoroughly reviewed. The market with fixed saving factors leads to a Gamma-like distribution. In a market with quenched random saving factors for its agents we show that the steady state income (m) distribution P (m) in the model has a power law tail with Pareto index ν equal to unity. ...

* Marco Tarenghi contributed to the numerical part on the Equity Return Swap example. We are grateful to Aurelien Alfonsi, Eymen Errais and Massimo Morini for comments and suggestions. Umberto Cherubini helped us with references and further suggestions.

We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the defi...

In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of byclaim may be delayed depending on associated main claim amount. Using Rouché’s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent ...

This paper examines some of the techniques which are applicable in socioeconomic research in forestry, with particular emphasis on non-industrial forestry in a developing country context. A variety of quantitative techniques is found to have relevance. The techniques may be grouped as data collection and analysis, physical and financial modeling, valuation and reporting methods, and policy anal...

In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed by Trefethen et al. [12]. For a certain class of claim size distributions (which contains the completely monotone distributions) we give a theoretical justification for the method. We also show ...

Data envelopment analysis (DEA) is a data oriented, non-parametric method to evaluate relative efficiency based on pre-selected inputs and outputs. In some cases, the performance model is not well defined, so it is critical to select the appropriate inputs and outputs by other means. When we have many potential variables for evaluation, it is difficult to select inputs and outputs from a large ...

Free flight is an effective way to solve the congestions of air traffic flow. In order to guarantee the flight security, there is great significance to study on collision risk assessment in free flight. This paper applies the idea of collision risk of fixed route based on conflict area for reference, firstly designs a conflict area and establishes the collision risk model in free flight on the ...

The use of internal Bank models for meeting capital requirements has been approved for some time. Regulators then face issues of model approval necessitating some public domain analysis of model performance. This paper presents a new approach to risk model evaluation using forward looking risk neutral probabilities. In addition to V aR and CV aR we analyse a new measure termed here RWAV aR that...