Unexpected medical care spending imposes considerable financial risk on developing country households. Based on managed care models of health insurance in wealthy countries, Colombia's Régimen Subsidiado is a publicly financed insurance program targeted to the poor, aiming both to provide risk protection and to promote allocative efficiency in the use of medical care. Using a "fuzzy" regression...

This paper investigates the finite time ruin probability in non-homogeneous Poisson risk model, conditional Poisson risk models and renewal risk model with stochastic returns. Under the assumption that the claimsize is subexponentially distributed, a simple asymptotic relation is established when the initial capital tends to infinity. The results obtained extend the corresponding results of con...

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002. Our econometric univariate and multivariate models explain a significant portion of the variance in bond recovery rates aggregated across all seniority and ...

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is large. The result is consistent with known results for the ultimate and finitetime ruin probability and, particularly, is inconsistent with the corresponding Poisson risk ...

Proprietary and academic models of credit risk measurement are surveyed and compared. Emphasis is on the special challenges associated with estimating the credit risk exposure of middle market firms. A sample database of middle market obligations is used to contrast estimates across different model specifications.

Risk is inherent in distributed, large-scale systems. This paper explores the challenges of risk modeling in such systems, and suggests a risk modeling approach that is responsive to the requirements of complex, distributed, large-scale systems. An example of the use of the approach in the marine transportation system is given. The paper concludes with a discussion of limitations of the approac...

The literature on credit risk consists of different approaches in modeling the behavior of defaultable bonds. The structural approach is based on the evolution of the firm value to determine default and recovery. In contrast, the more recently developed intensity-based models specify the default time exogenously. In this approach the defaultable yield curve results from the risk-free yield curv...

For the renewal risk model with subexponential claim sizes, we established for the finite time ruin probability a lower asymptotic estimate as initial surplus increases, subject to the demand that it should hold uniformly over all time horizons in an infinite interval. In the case of Poisson model, we also obtained the upper asymptotic formula so that an equivalent formula was derived. These ex...

This paper distinguishes relative risk aversion and resistance to intertemporal substitution in climate risk modeling. Stochastic recursive preferences are introduced in a stylized numeric climate-economy model using preliminary IPCC 1998 scenarios. It shows that higher risk aversion increases the optimal carbon tax. Higher resistance to intertemporal substitution alone has the same effect as i...

the safety of hydrogen generation facilities is the main concern in their process operation. this study was conducted to identify the hazards and evaluate the risks of a hydrogen generation plant. for this purpose, prha (process hazard analysis) was applied for hazard identification while lopa (layer of protection analysis) was used for risk assessment. the study was conducted in the hydrogen p...