We consider asymptotic expansions for defective and excessive renewal equations that are close to being proper. These expansions are applied to the analysis of Processor Sharing queues and perturbed risk models, and yield approximations that can be useful in applications where moments are computable, but the distribution is not.

This paper establishes some asymptotic formulas for the infinite-time ruin probabilities of two kinds of dependent risk models. One risk model considers the claim sizes as a modulated process, and the other deals with negatively upper orthant dependent claim sizes. In the two models, the inter-arrival times are both assumed to be negatively lower orthant dependent.

Social protection refers to a set of policy measures to protect individuals, especially the critically poor, from financial losses due to high-risk events, such as natural disasters, social risks like unemployment, war or unexpected financial shocks, and political risks like discrimination of minorities in conflict zones (1–3). In terms of health, social protection includes protection against h...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...

Only few studies exist concerning the recovery rate of bank loans. The recovery rate is defined as the payback quota of a defaulted borrower. Prediction models of recovery rates are gaining in importance because of the Basel II-reform and the impact for the credit risk management, the calculation of interest rates and the results of credit risk models. Factors that influence the recovery rate c...

Once a fairly esoteric subject, risk analysis and measurement has become a critical function for both portfolio managers and traders. Yet, there are many practical challenges in accurately measuring and analyzing risk. These range from the construction of accurate and up-to-date risk models to subtle issues in the interpretation of the results of these models. This article provides a detailed o...

The seismic risk potential for Malawi is high because traditional adobe and earthen structures are seismically vulnerable and large earthquakes of Mw7.0 or greater may occur in the Malawi Rift. To assess seismic risk of the Malawian communities quantitatively, data and models for exposure, hazard, and vulnerability modules that are suitable for Malawi are integrated. The developed risk model is...

This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main investment strategies and the risk models employed. We address the problems in Hedge Fund modelling, survey current Hedge Funds available on the market and t...