We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc.) increase noise trades and trading costs; ...

In this paper, we consider some non-standard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim-size distribution belongs to some classes of heavy-tailed distributions and a constrai...

We consider the Erlang(λ, n) risk process with i.i.d. exponentially distributed claims severities. We prove that the ruin probability is a strictly decreasing function in n if we keep the expected interarrival times between two successive claims constant. In the limit case we obtain Lundberg’s fundamental equation in the discrete time risk model (ladder heights of random walks).

In this paper we examined whether the recorded precipitation changes cause erosion in Naxos Island, Greece using precipitation indices derived from daily precipitation totals, during the period 1955–2007, in order to develop an erosion risk model. Although the mean annual precipitation appear to be low (∼360.0 mm), the erosion processes of the area are very intense, because of the intensive cha...

For a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present value of all dividends until ruin and the expected discounted value of a penalty at ruin (which is typically a function of the deficit at ruin...

The study of precise large deviations for random sums is an important topic in insurance and finance. In this paper, we extend recent results of Tang (2006) and Liu (2009) to random sums in various situations. In particular, we establish a precise large deviation result for a nonstandard renewal risk model in which innovations, modelled as real-valued random variables, are negatively dependent ...

Complex biophysical, social, and human behavioral factors influence population vulnerability to vector-borne diseases. Spatially and temporally dynamic environmental and anthropogenic patterns require sophisticated mapping and modeling techniques. While many studies use environmental variables to predict risk, human population vulnerability has been a challenge to incorporate into spatial risk ...

In this paper we consider the following inverse problem for the first hitting time distribution: given a Wiener process with a random initial state, probability distribution, F (t), and a linear boundary, b(t) = μt, find a distribution of the initial state such that the distribution of the first hitting time is F (t). This problem has important applications in credit risk modeling where the pro...