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Citation Profile [Updated: 2020-11-03 07:59:29]
5 Years H
9
Impact Factor
0.36
5 Years IF
0.33
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.2 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.23 0 0 0 0 0 0 0 0 0 0 0.11
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.1
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.13
1999 0 0.29 0 0 0 0 0 0 0 0 0 0 0.14
2000 0 0.34 0 0 0 0 0 0 0 0 0 0 0.15
2001 0 0.36 0 0 0 0 0 0 0 0 0 0 0.16
2002 0 0.4 0 0 0 0 0 0 0 0 0 0 0.21
2003 0 0.41 0 0 0 0 0 0 0 0 0 0 0.2
2004 0 0.46 0 0 0 0 0 0 0 0 0 0 0.2
2005 0 0.47 0 0 0 0 0 0 0 0 0 0 0.22
2006 0 0.47 0 0 0 0 0 0 0 0 0 0 0.21
2007 0 0.43 0 0 0 0 0 0 0 0 0 0 0.19
2008 0 0.45 0 0 0 0 0 0 0 0 0 0 0.21
2009 0 0.44 0 0 0 0 0 0 0 0 0 0 0.21
2010 0 0.44 0 0 0 0 0 0 0 0 0 0 0.18
2011 0 0.47 0 0 0 0 0 0 0 0 0 0 0.21
2012 0 0.47 0 0 0 0 0 0 0 0 0 0 0.19
2013 0 0.53 0.08 0 13 13 29 1 1 0 0 0 1 0.08 0.22
2014 0.38 0.54 0.23 0.38 26 39 98 9 10 13 5 13 5 4 44.4 4 0.15 0.21
2015 0.69 0.54 0.4 0.69 31 70 33 28 38 39 27 39 27 3 10.7 0 0.21
2016 0.46 0.54 0.32 0.41 72 142 83 45 83 57 26 70 29 3 6.7 15 0.21 0.19
2017 0.17 0.55 0.21 0.23 64 206 73 43 126 103 18 142 32 9 20.9 9 0.14 0.2
2018 0.27 0.64 0.3 0.32 146 352 133 104 230 136 37 206 65 32 30.8 13 0.09 0.25
2019 0.4 0.74 0.44 0.38 125 477 71 210 440 210 84 339 130 39 18.6 31 0.25 0.27
2020 0.36 0.84 0.34 0.33 99 576 9 193 633 271 98 438 143 37 19.2 10 0.1 0.28
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12014An Academic Response to Basel 3.5. (2014). Beleraj, Antonela ; Wang, Ruodu ; Embrechts, Paul ; Ruschendorf, Ludger ; Puccetti, Giovanni. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:1:p:25-48:d:33505.

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55
22018Credit Risk Analysis Using Machine and Deep Learning Models. (2018). Addo, Peter Martey ; Hassani, Bertrand ; Guegan, Dominique. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:38-:d:141267.

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16
32013Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model. (2013). Asimit, Alexandru V. ; Zitikis, Riardas ; Vernic, Raluca. In: Risks. RePEc:gam:jrisks:v:1:y:2013:i:1:p:14-33:d:23978.

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14
42016Community Analysis of Global Financial Markets. (2016). Zhou, DI ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena ; Havlin, Shlomo. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13:d:70032.

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10
52016Community Analysis of Global Financial Markets. (2016). Zhou, DI ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena ; Havlin, Shlomo. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13-:d:70032.

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10
62016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Yang, LU ; Frees, Edward W ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:4-:d:64467.

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9
72018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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9
82016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Frees, Edward W ; Yang, LU ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:-:d:64467.

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9
92013A Risk Model with an Observer in a Markov Environment. (2013). Albrecher, Hansjorg ; Ivanovs, Jevgenijs . In: Risks. RePEc:gam:jrisks:v:1:y:2013:i:3:p:148-161:d:30342.

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9
102016The Wasserstein Metric and Robustness in Risk Management. (2016). Kiesel, Rdiger ; Zheng, Jinsong ; Stahl, Gerhard ; Rhlicke, Robin . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:32-:d:77044.

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9
112016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Frees, Edward W ; Yang, LU ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:4:d:64467.

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9
1220141980–2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future. (2014). Sornette, Didier ; Cauwels, Peter. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:2:p:103-131:d:34639.

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9
132016Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments. (2016). Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:14-:d:70470.

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8
142016Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments. (2016). Ye, Wilson ; Peters, Gareth W ; Gerlach, Richard H. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:14:d:70470.

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8
152017Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. (2017). Shang, Han Lin ; Gao, Yuan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:21-:d:94105.

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7
162015The Financial Stress Index: Identification of Systemic Risk Conditions. (2015). Oet, Mikhail ; Ong, Stephen J ; Dooley, John M. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:3:p:420-444:d:55870.

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7
1720197
182014A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty. (2014). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Yuchong. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:4:p:425-433:d:41048.

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7
192014Catastrophe Insurance Modeled by Shot-Noise Processes. (2014). Schmidt, Thorsten. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:1:p:3-24:d:33264.

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7
202018A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009.

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7
212016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. (2016). Shevchenko, Pavel V ; Luo, Xiaolin. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:22-:d:73342.

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7
222018An Individual Claims History Simulation Machine. (2018). Gabrielli, Andrea ; Wuthrich, Mario V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:29-:d:138840.

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6
232019DeepTriangle: A Deep Learning Approach to Loss Reserving. (2019). Kuo, Kevin. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:97-:d:267719.

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6
242017Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375.

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6
252018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969.

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5
262019Liquidity Risk Drivers and Bank Business Models. (2019). Mazzu, Sebastiano ; Galletta, Simona. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:89-:d:260870.

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5
272016A Note on Realistic Dividends in Actuarial Surplus Models. (2016). Avanzi, Benjamin ; Wong, Bernard ; Tu, Vincent . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:37-:d:80958.

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5
282016Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events. (2016). Ghossoub, Mario. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:29-:d:75385.

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5
292018CoRisk: Credit Risk Contagion with Correlation Network Models. (2018). Parisi, Laura ; Giudici, Paolo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:95-:d:169274.

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5
302016Optimal Reinsurance with Heterogeneous Reference Probabilities. (2016). Boonen, Tim J. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:26-:d:73448.

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5
312017State Space Models and the K alman -Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing. (2017). Chukhrova, Nataliya ; Johannssen, Arne. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:30-:d:99880.

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5
322017An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims. (2017). Calderin-Ojeda, Enrique ; Wu, Xueyuan ; Fergusson, Kevin. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:60-:d:117944.

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5
332018Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:33-:d:139765.

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5
342018A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies. (2018). Krah, Anne-Sophie ; Korn, Ralf ; Nikoli, Zoran. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:62-:d:151752.

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4
352015Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.

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4
362016Telematics and Gender Discrimination: Some Usage-Based Evidence on Whether Men’s Risk of Accidents Differs from Women’s. (2016). Ayuso, Mercedes ; Prez-Marn, Ana Mara ; Guillen, Montserrat. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:10:d:67819.

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4
372015Risk Classification Efficiency and the Insurance Market Regulation. (2015). porrini, donatella. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:445-454:d:56474.

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4
382017An Integrated Approach to Pricing Catastrophe Reinsurance. (2017). Chang, Carolyn W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:51-:d:112384.

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4
392018Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis. (2018). Corelli, Angelo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:111-:d:174110.

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4
402017Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model. (2017). Cohen, Albert ; Costanzino, Nick. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:26-:d:96172.

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4
412016Telematics and Gender Discrimination: Some Usage-Based Evidence on Whether Men’s Risk of Accidents Differs from Women’s. (2016). Prez-Marn, Ana Mara ; Ayuso, Mercedes ; Guillen, Montserrat. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:10-:d:67819.

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4
422019Claim Watching and Individual Claims Reserving Using Classification and Regression Trees. (2019). Moriconi, Franco ; de Felice, Massimo . In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:102-:d:275926.

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4
432016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Amarante, Massimiliano ; Ghossoub, Mario. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8:d:66161.

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4
442018A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model. (2018). Lkabous, Mohamed Amine ; Renaud, Jean-Franois. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:85-:d:165493.

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4
452016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Ghossoub, Mario ; amarante, massimiliano. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8-:d:66161.

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4
462014An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality. (2014). Pinelis, Iosif . In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:3:p:349-392:d:40522.

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4
472017Risk Management under Omega Measure. (2017). Metel, Michael R ; Wong, Julian ; Pirvu, Traian A. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:27-:d:97820.

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3
482019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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3
492016The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. (2016). Blake, David ; Dowd, Kevin. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:21-:d:73310.

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3
502016A Note on Health Insurance under Ex Post Moral Hazard. (2016). Picard, Pierre. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:38-:d:81350.

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3
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12018Credit Risk Analysis Using Machine and Deep Learning Models. (2018). Addo, Peter Martey ; Hassani, Bertrand ; Guegan, Dominique. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:38-:d:141267.

Full description at Econpapers || Download paper

15
22014An Academic Response to Basel 3.5. (2014). Beleraj, Antonela ; Wang, Ruodu ; Embrechts, Paul ; Ruschendorf, Ludger ; Puccetti, Giovanni. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:1:p:25-48:d:33505.

Full description at Econpapers || Download paper

14
32018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

Full description at Econpapers || Download paper

8
420197
52016The Wasserstein Metric and Robustness in Risk Management. (2016). Kiesel, Rdiger ; Zheng, Jinsong ; Stahl, Gerhard ; Rhlicke, Robin . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:32-:d:77044.

Full description at Econpapers || Download paper

7
62017Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375.

Full description at Econpapers || Download paper

6
72016Community Analysis of Global Financial Markets. (2016). Zhou, DI ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena ; Havlin, Shlomo. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13:d:70032.

Full description at Econpapers || Download paper

6
82016Community Analysis of Global Financial Markets. (2016). Zhou, DI ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena ; Havlin, Shlomo. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13-:d:70032.

Full description at Econpapers || Download paper

6
92018An Individual Claims History Simulation Machine. (2018). Gabrielli, Andrea ; Wuthrich, Mario V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:29-:d:138840.

Full description at Econpapers || Download paper

6
102019DeepTriangle: A Deep Learning Approach to Loss Reserving. (2019). Kuo, Kevin. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:97-:d:267719.

Full description at Econpapers || Download paper

6
112016Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events. (2016). Ghossoub, Mario. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:29-:d:75385.

Full description at Econpapers || Download paper

5
122019Liquidity Risk Drivers and Bank Business Models. (2019). Mazzu, Sebastiano ; Galletta, Simona. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:89-:d:260870.

Full description at Econpapers || Download paper

5
132017State Space Models and the K alman -Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing. (2017). Chukhrova, Nataliya ; Johannssen, Arne. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:30-:d:99880.

Full description at Econpapers || Download paper

5
142018Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:33-:d:139765.

Full description at Econpapers || Download paper

5
152018CoRisk: Credit Risk Contagion with Correlation Network Models. (2018). Parisi, Laura ; Giudici, Paolo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:95-:d:169274.

Full description at Econpapers || Download paper

5
162018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969.

Full description at Econpapers || Download paper

5
172018A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009.

Full description at Econpapers || Download paper

5
182016Optimal Reinsurance with Heterogeneous Reference Probabilities. (2016). Boonen, Tim J. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:26-:d:73448.

Full description at Econpapers || Download paper

5
192016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Frees, Edward W ; Yang, LU ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:-:d:64467.

Full description at Econpapers || Download paper

4
202018A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model. (2018). Lkabous, Mohamed Amine ; Renaud, Jean-Franois. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:85-:d:165493.

Full description at Econpapers || Download paper

4
212017Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. (2017). Shang, Han Lin ; Gao, Yuan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:21-:d:94105.

Full description at Econpapers || Download paper

4
222016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Amarante, Massimiliano ; Ghossoub, Mario. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8:d:66161.

Full description at Econpapers || Download paper

4
232016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Yang, LU ; Frees, Edward W ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:4-:d:64467.

Full description at Econpapers || Download paper

4
242019Claim Watching and Individual Claims Reserving Using Classification and Regression Trees. (2019). Moriconi, Franco ; de Felice, Massimo . In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:102-:d:275926.

Full description at Econpapers || Download paper

4
252016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Frees, Edward W ; Yang, LU ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:4:d:64467.

Full description at Econpapers || Download paper

4
262018A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies. (2018). Krah, Anne-Sophie ; Korn, Ralf ; Nikoli, Zoran. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:62-:d:151752.

Full description at Econpapers || Download paper

4
272016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Ghossoub, Mario ; amarante, massimiliano. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8-:d:66161.

Full description at Econpapers || Download paper

4
282018Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis. (2018). Corelli, Angelo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:111-:d:174110.

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4
292015Life Insurance Cash Flows with Policyholder Behavior. (2015). Buchardt, Kristian ; Moller, Thomas. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:3:p:290-317:d:53175.

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302019Loss Reserving Models: Granular and Machine Learning Forms. (2019). Taylor, Greg. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:82-:d:250013.

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312018Life Insurance and Annuity Demand under Hyperbolic Discounting. (2018). Tang, Siqi ; Zhang, Jinhui ; Purcal, Sachi . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:43-:d:142704.

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322016Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments. (2016). Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:14-:d:70470.

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332016Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments. (2016). Ye, Wilson ; Peters, Gareth W ; Gerlach, Richard H. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:14:d:70470.

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342019High Frequency Price Change Spillovers in Bitcoin Markets. (2019). Pagnottoni, Paolo ; Giudici, Paolo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:111-:d:282751.

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352018On the Failure to Reach the Optimal Government Debt Ceiling. (2018). Cadenillas, Abel ; Huaman-Aguilar, Ricardo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:138-:d:187810.

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362017An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims. (2017). Calderin-Ojeda, Enrique ; Wu, Xueyuan ; Fergusson, Kevin. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:60-:d:117944.

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372018A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution. (2018). Landsman, Zinoviy ; Shushi, Tomer ; Makov, Udi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:19-:d:134997.

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382019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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392014A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty. (2014). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Yuchong. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:4:p:425-433:d:41048.

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402016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. (2016). Shevchenko, Pavel V ; Luo, Xiaolin. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:22-:d:73342.

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412016A Note on Realistic Dividends in Actuarial Surplus Models. (2016). Avanzi, Benjamin ; Wong, Bernard ; Tu, Vincent . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:37-:d:80958.

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422015The Financial Stress Index: Identification of Systemic Risk Conditions. (2015). Oet, Mikhail ; Ong, Stephen J ; Dooley, John M. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:3:p:420-444:d:55870.

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432019Credit Risk Assessment Model for Small and Micro-Enterprises: The Case of Lithuania. (2019). Spicas, Renatas ; Kanapickiene, Rasa. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:67-:d:239504.

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442017On the First Crossing of Two Boundaries by an Order Statistics Risk Process. (2017). Dimitrova, Dimitrina S ; Kaishev, Vladimir K ; Ignatov, Zvetan G. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:43-:d:108877.

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452019Analysis of Stochastic Reserving Models By Means of NAIC Claims Data. (2019). Martinek, Laszlo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:62-:d:237290.

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462016Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. (2016). Peiris, Shelton ; Singh, Abhay K. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:7:d:65863.

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472018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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482019Credit Risk Migration and Economic Cycles. (2019). Ferretti, Camilla ; Vozzella, Pietro ; Sist, Federica ; Ganugi, Piero ; Gabbi, Giampaolo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:109-:d:281302.

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492018Diversification and Systemic Risk: A Financial Network Perspective. (2018). Frey, Rudiger ; Hledik, Juraj. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:54-:d:146414.

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502019LIBOR Fallback and Quantitative Finance. (2019). Henrard, Marc Pierre. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:88-:d:257801.

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2020The Growth of Private Sector and Financial Development in Saudi Arabia. (2020). Haque, Mohammad Imdadul. In: Economies. RePEc:gam:jecomi:v:8:y:2020:i:2:p:39-:d:357217.

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2020The risk of betting on risk: Conditional variance and correlation of bank credit default swaps. (2020). Huang, Xin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:710-721.

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2020Stochastic Mortality Modelling for Dependent Coupled Lives. (2020). Pamen, Olivier Menoukeu ; Constantinescu, Corina ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:17-:d:319039.

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2020Pricing Defaulted Italian Mortgages. (2020). Schenk-Hoppé, Klaus ; Schenk-Hoppe, Klaus R ; Pelizza, Michela. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:31-:d:318795.

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2020Die Hard: Probability of Default and Soft Information. (2020). Matthias, Massimo ; Giammarino, Michele ; Gabbi, Giampaolo. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:46-:d:357662.

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2020General Compound Hawkes Processes in Limit Order Books. (2020). Huffman, Aiden ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:28-:d:332592.

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2020Lead Behaviour in Bitcoin Markets. (2020). Trimborn, Simon ; Misheva, Branka Hadji ; Giudici, Paolo ; Chen, Ying. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:4-:d:305277.

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2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. (2020). Cafferata, Alessia ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:34-:d:343546.

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2020Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?. (2020). de Giuli, Maria Elena ; DeGiuli, Maria Elena ; Pagnottoni, Paolo ; Resta, Marina. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:44-:d:354452.

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2020Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets. (2020). Malik, Zoya ; Mehmood, Rashid ; Tayachi, Tahar ; Hunjra, Ahmed Imran. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:37-:d:345151.

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2020Systematic Risk at the Industry Level: A Case Study of Australia. (2020). Vo, Duc ; McAleer, Michael ; Vu, Tan Ngoc ; Nguyen, Thang Cong. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:36-:d:344914.

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2020A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis. (2020). Sperlich, Stefan ; Jorda, Vanesa ; Prieto, Faustino ; Sarabia, Jose Maria. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:32-:d:341113.

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2020Long-term real dynamic investment planning. (2020). Vodika, Peter ; Nielsen, Jens Perch ; Hiabu, Munir ; Gerrard, Russell. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:90-103.

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2020Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). Facchinetti, Silvia ; Bramante, Riccardo ; Arbia, Giuseppe. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:95-:d:410286.

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2020Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data. (2020). GUPTA, RANGAN ; Rojas, Omar ; Nazlioglu, Saban ; Coronado, Semei. In: Working Papers. RePEc:pre:wpaper:202006.

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2020Microcredits for Sustainable Development of Small Ukrainian Enterprises: Efficiency, Accessibility, and Government Contribution. (2020). Kurylo, Oksana ; Turylo, Anatolii ; Trevoho, Olena ; Symak, Anastasiya ; Petrushka, Tetyana ; Yemelyanov, Olexandr ; Lesyk, Lilia ; Danchak, Lesia. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6184-:d:392841.

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2020Optimal Dividend Payment in De Finetti Models: Survey and New Results and Strategies. (2020). Hipp, Christian. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:96-:d:411896.

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2020Towards Explainability of Machine Learning Models in Insurance Pricing. (2020). Lupton, Daniel ; Kuo, Kevin. In: Papers. RePEc:arx:papers:2003.10674.

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2020An exploration of gender gap using advanced data science tools: actuarial research community. (2020). Yu, Mengyu ; Miljkovic, Tatjana ; Thompson, Samantha ; Krehbiel, Mazie. In: Scientometrics. RePEc:spr:scient:v:123:y:2020:i:2:d:10.1007_s11192-020-03412-w.

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2020Energy and non–energy Commodities: Spillover Effects on African Stock Markets. (2020). Gallo, Giampiero M ; Candila, Vincenzo ; Boccia, Marinella ; Amendola, Alessandra. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_7.

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2020An arbitrage-free interpolation of class $C^2$ for option prices. (2020). le Floc, Fabien. In: Papers. RePEc:arx:papers:2004.08650.

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2020The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

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2020HRP performance comparison in portfolio optimization under various codependence and distance metrics. (2020). Chlebus, Marcin ; Barziy, Illya. In: Working Papers. RePEc:war:wpaper:2020-21.

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2020A test on the location of the tangency portfolio on the set of feasible portfolios. (2020). Lindholm, Mathias ; Bodnar, Taras ; Muhinyuza, Stanislas. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s009630032030477x.

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Recent citations
Recent citations received in 2020

YearCiting document
2020SABR smiles for RFR caplets. (2020). Willems, Sander. In: Papers. RePEc:arx:papers:2004.04501.

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2020Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach. (2020). Targino, Rodrigo ; Saporito, Yuri F. In: Papers. RePEc:arx:papers:2004.13235.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Theoretical Guarantees for Learning Conditional Expectation using Controlled ODE-RNN. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso. In: Papers. RePEc:arx:papers:2006.04727.

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2020Multivariate General Compound Point Processes in Limit Order Books. (2020). Swishchuk, Anatoliy ; Remillard, Bruno ; Guo, QI. In: Papers. RePEc:arx:papers:2008.00124.

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2020Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?. (2020). Allen, David Edmund. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:202-:d:410152.

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2020Systematic Risk at the Industry Level: A Case Study of Australia. (2020). Vo, Duc ; McAleer, Michael ; Vu, Tan Ngoc ; Nguyen, Thang Cong. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:36-:d:344914.

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2020Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL. (2020). Pham, Ha ; Engelmann, Bernd. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:93-:d:407903.

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2020Multivariate General Compound Point Processes in Limit Order Books. (2020). Swishchuk, Anatoliy ; Remillard, Bruno ; Guo, QI. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:98-:d:412414.

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2020Sustainable Funds’ Performance Evaluation. (2020). Liu, Wei ; Merkyte, Justina ; Teresiene, Deimante ; Han, Yan ; Yue, Xiao-Guang. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:8034-:d:421326.

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Recent citations received in 2019

YearCiting document
2019Optimal Solution Techniques in Decision Sciences A Review. (2019). Wong, Wing-Keung ; Ho, Thi Diem-Chinh ; Tran, Tuan-Kiet ; Pho, Kim-Hung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:1:p:114-161.

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2019MOMENT GENERATING FUNCTION, EXPECTATION AND VARIANCE OF UBIQUITOUS DISTRIBUTIONS WITH APPLICATIONS IN DECISION SCIENCES: A REVIEW. (2019). Wong, Wing-Keung ; Tran, Tuan-Kiet ; Ho, Thi Diem-Chinh ; Pho, Kim-Hung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:65-150.

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2019A neural network-based framework for financial model calibration. (2019). Oosterlee, Cornelis W ; Grzelak, Lech A ; Borovykh, Anastasia ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:1904.10523.

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2019Mortality rate forecasting: can recurrent neural networks beat the Lee-Carter model?. (2019). , J'Ozsef ; Petneh, G'Abor. In: Papers. RePEc:arx:papers:1909.05501.

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2019A multilevel analysis to systemic exposure: insights from local and system-wide information. (2019). Gnabo, Jean-Yves ; Gandica, Y'Erali. In: Papers. RePEc:arx:papers:1910.08611.

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2019A hybrid stochastic differential reinsurance and investment game with bounded memory. (2019). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei. In: Papers. RePEc:arx:papers:1910.09834.

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2019Does Death Anxiety Moderate the Adequacy of Retirement Savings? Empirical Evidence from 40-Plus Clients of Spanish Financial Advisory Firms. (2019). Hernandez, Montserrat ; Herrador, Teresa ; Topa, Gabriela ; Garmendia, Pablo. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:3:p:38-:d:246463.

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2019The Laws of Motion of the Broker Call Rate in the United States. (2019). Garivaltis, Alexander. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:4:p:56-:d:272663.

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2019The W , Z / ν , δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps. (2019). Vardar-Acar, Ceren ; Grahovac, Danijel ; Avram, Florin. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:18-:d:207330.

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2019Predicting Motor Insurance Claims Using Telematics Data—XGBoost versus Logistic Regression. (2019). Alcaiz, Manuela ; Guillen, Montserrat ; Pesantez-Narvaez, Jessica. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:70-:d:241617.

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2019Quantile Regression with Telematics Information to Assess the Risk of Driving above the Posted Speed Limit. (2019). Bermudez, Lluis ; Alcaiz, Manuela ; Guillen, Montserrat ; Perez-Marin, Ana M. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:80-:d:248378.

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2019Special Issue “Risk, Ruin and Survival: Decision Making in Insurance and Finance”. (2019). Zitikis, Riardas ; Sendova, Kristina ; Ren, Jiandong. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:96-:d:265178.

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2019DeepTriangle: A Deep Learning Approach to Loss Reserving. (2019). Kuo, Kevin. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:97-:d:267719.

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2019A Likelihood Approach to Bornhuetter–Ferguson Analysis. (2019). Nielsen, Bent ; Martinez-Miranda, Maria Dolores ; Margraf, Carolin ; Elpidorou, Valandis. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:119-:d:296216.

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2019Risks Special Issue on “Granular Models and Machine Learning Models”. (2019). Taylor, Greg. In: Risks. RePEc:gam:jrisks:v:8:y:2019:i:1:p:1-:d:303264.

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2019Internet of Things and Their Coming Perspectives: A Real Options Approach. (2019). Cruz-Rambaud, Salvador ; Sanchez-Perez, Ana Maria ; Tarifa-Fernandez, Jorge. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3178-:d:237686.

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2019Sustainable Road Design: Promoting Recycling and Non-Conventional Materials. (2019). Dawson, Andrew ; Thom, Nicholas. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:21:p:6106-:d:282895.

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2019On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region. (2019). Olah, Judit ; Ur, Faheem ; Khan, Muhammad Asif ; Pervaiz, Khansa ; Li, Chunling. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:23:p:6636-:d:290359.

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2019Pay Me Later is Not Always Positively Associated with Bank Risk Reduction—From the Perspective of Long-Term Compensation and Black Box Effect. (2019). Yuan, Xuchuan ; Jiang, Minghui ; Ma, Tianyi. In: Sustainability. RePEc:gam:jsusta:v:12:y:2019:i:1:p:35-:d:299541.

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2019Company’s Performance and Its Determinants: A Study on Dutch Lady Milk Industries Berhad. (2019). Pang, Xiao Xuan. In: MPRA Paper. RePEc:pra:mprapa:97168.

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2019The Impact Of Determinants The Factor That Influence The Company Performance:A Study On Padini Holding BHD In Malaysia.. (2019). Yan, Chong Wai. In: MPRA Paper. RePEc:pra:mprapa:97176.

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2019The Market Risk on Dominos Pizza Incorporations Peformance. (2019). Teoh, Wenji. In: MPRA Paper. RePEc:pra:mprapa:97244.

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2019Market Risk on Dominos Pizza Incorporations Performance. (2019). Wenji, Teoh. In: MPRA Paper. RePEc:pra:mprapa:97319.

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Recent citations received in 2018

YearCiting document
2018On fair reinsurance premiums; Capital injections in a perturbed risk model. (2018). ben Salah, Zied ; Garrido, Jose. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:11-20.

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2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407.

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2018Moving Average Market Timing in European Energy Markets: Production Versus Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3281-:d:185360.

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2018Stable Value Funds Performance. (2018). Babbel, David ; Herce, Miguel A. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:12-:d:132609.

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2018Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models. (2018). Harnau, Jonas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:25-:d:137814.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2018The Interaction of Borrower and Loan Characteristics in Predicting Risks of Subprime Automobile Loans. (2018). Ghulam, Yaseen ; Hill, Sophie ; Naseem, Sana ; Dhruva, Kamini. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:101-:d:169957.

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2018Company Value with Ruin Constraint in Lundberg Models. (2018). Hipp, Christian. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:73-:d:159090.

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2018Optimum Technology Product Life Cycle Technology Innovation Investment-Using Compound Binomial Options. (2018). Ko, Chuan-Chuan ; Liu, Chien-Yu ; Zeng, Fu-Min ; Lin, Tyrone T. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:98-:d:169829.

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2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees. (2018). Doyle, Daniel ; Groendyke, Chris . In: Risks. RePEc:gam:jrisks:v:7:y:2018:i:1:p:1-:d:192723.

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2018On the Dependence between Quantiles and Dispersion Estimators. (2018). Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-02296832.

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2018Using App Inventor to provide the amortization schedule and the sinking fund schedule. (2018). Huang, Li-Fei. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:04:n:s2424786318500305.

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Recent citations received in 2017

YearCiting document
2017Influence of jump-at-default in IR and FX on Quanto CDS prices. (2017). Itkin, Andrey ; Veygman, A ; Shcherbakov, V. In: Papers. RePEc:arx:papers:1711.07133.

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2017Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for Day and Night Air Pollution in Silesia Region: A Critical Overview. (2017). Rydlewski, Jerzy P ; Mielczarek, Dominik ; Kosiorowski, Daniel. In: Papers. RePEc:arx:papers:1712.03797.

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2017Pareto-optimal reinsurance arrangements under general model settings. (2017). Cai, Jun ; Wang, Ruodu ; Liu, Haiyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:24-37.

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2017Bubbles, Blind-Spots and Brexit. (2017). Fry, John ; Brint, Andrew. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:37-:d:105098.

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2017Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”. (2017). Regis, Luca. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:63-:d:121755.

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2017Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing. (2017). Burnecki, Krzysztof ; Giuricich, Mario Nicolo. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:64-:d:123183.

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2017A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk. (2017). Cohen, Albert ; Costanzino, Nick. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:65-:d:123567.

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2017Risk Measurement and Risk Modelling Using Applications of Vine Copulas. (2017). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1762-:d:113713.

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