A new methodology for financial and insurance operational risk capital estimation is proposed. It is based on using the finite time probability of (non)ruin as an operational risk measure, under a general ruin probability model, according to which operational losses may have any joint (dependent) discrete or continuous distribution, and the function, describing the accumulation of risk capital ...

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their company. Ruin probabilities allow us measure the effect stop-loss on solvency primary insurer. They further permit calculation economic capital, or required initial capital hold, corresponding 99.5% value-at-risk its surplus. Specifically, we show under contract, ruin probability for insur...

Past performance is no guarantee of future results. Potential for profi t is accompanied by possibility of loss. Commodities trading involves substantial risk of loss. Introduction Essential Beta (EB) is an investment strategy designed to achieve equity like returns with balanced portfolio volatility and a low correlation to equities. It does so by selecting the liquid markets that are essentia...

Quantitative Risk Management (QRM) standardly concerns a vector of one-period profit-and-loss random variables X = (X1, . . . ,Xd) defined on some probability space (Ω ,F,P). Risk Aggregation concerns the study of the aggregate financial position Ψ (X), for some measurable function Ψ : Rd → R. Under the terms of the New Basel Capital Accord (Basel II), internationally active banks are required ...

Although knowledge sharing has been widely treated as the important factor for the success of an organization, relatively little work on exploring how to promote employees’ knowledge sharing has been done in the Chinese context. Due to the unique cultural background, attitudes, and values of the Chinese people, it is likely that the lessons gained from knowledge management practices in develope...

One of the more disruptive reforms associated with the modern Internet is the emergence of online communities working together on knowledge artefacts such as Wikipedia and OpenStreetMap. Recently it has become clear that these initiatives are vulnerable because of problems with membership turnover. This study presents a longitudinal analysis of 891 WikiProjects where we model the impact of memb...

Assuming a no arbitrage environment, this article analyses the role of the government in the context of company valuation when …rms follow di¤erent …nancial policies. For the two analyzed …nancial policies, the tax authority’s required returns and the value of tax payments are derived. Based on these results, we study the risk sharing e¤ects between equity owners and the government. It is shown...

M any occupations are subject to learning by doing: Effort at the workplace early in the career of a worker results in higher productivity later on.1 In such occupations, if effort at work is unobservable, a moral hazard problem arises as well. The combination of these two characteristics of effort implies that employers need to provide incentives for the employee to work hard, possibly in the ...

The seller of a contingent claim H can always find a self-financing investment strategy that (super)hedges the claim H. When the seller wants to endow an initial capital x less than the one required to get perfect (super)hedging, the shortfall risk minimisation problem arises in a natural way. The aim is to find the strategy that minimises E{`([H(ST )−V x,φ T ])} (shortfall risk), where V x,φ t...