Risk theory in a stochastic economic environment

Paulsen, Jostein

doi:10.1016/0304-4149(93)90010-2

Cited by 153 publications

(98 citation statements)

References 10 publications

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“…In this regard, the development of factor models to analyze certain profitability performance profiles acquire certain theoretic and practical relevance, as well as their practical approval taking into consideration specific features of functioning of an enterprise. The works of many Russian (Safiullin, Samigullin, & Safiullin, 2013; and foreign authors (Ansoff, 1957;Black & Scholes, 1973;Freeman, 1999;Levy & Marshall, 1990;Paulsen, 1993;Geiger, Ritchie, & Marlin, 2006;Steiner, 1980) were devoted to this aspect of strategic management planning, though the issue of applying the given models to functioning of Russian companies still remains under-investigated.…”

Section: Introductionmentioning

confidence: 99%

Peculiarities of Implementation of Insurance Foundations in the Social Support of Citizens in Russian Regions (The Case of the Republic of Tatartstan)

Bagautdinova¹,

Sarkin²,

Averyanov³

et al. 2015

ASS

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The article analyzes financial condition of OJSC "Kazanorsintez" using a modified factor model of "DuPont" company. This approach helped to define the guidelines aimed at perfecting the incompany profit and efficiency planning, which allows to use resources rationally and to achieve maximal results. The conducted research indicated the company's unimproved opportunities, the implementation of which suggests the necessity of lowering current costs as well as further turnover acceleration by means of optimization of their structure, increasing efficiency in using all resources, strengthening financial stability and paying capacity, which will provide additional profit markup owing to profitability of sales.Keywords: financial condition of a company, financial soundness and solvency of a company, return on equity, factor model of "DuPont" company, incompany planning of profit and efficiency

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Section: Introductionmentioning

confidence: 99%

Peculiarities of Implementation of Insurance Foundations in the Social Support of Citizens in Russian Regions (The Case of the Republic of Tatartstan)

Bagautdinova¹,

Sarkin²,

Averyanov³

et al. 2015

ASS

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“…Since Dassios [5], Harrison [7] and Paulsen [15], several models for Risk Analysis had been established, but there are no connections to the CAPM, Sharpe [16]. As was pointed out by Dassios [5], these processes should provide a standard theory for studying applications in insurance risk theory.…”

Section: Introductionmentioning

confidence: 99%

Aspect in Network Security Risk: A System Ruin Problem

Tran¹

2012

IJNC

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The probability of ruin plays a crucial role in determining the Network Security Risk. The stable rate, initial stable values, together with ruin time, ruin function will be discussed in the directions of mapping to the Security Systems. As the stable rate becomes larger, the observation is the probability of ruin will be smaller. Random walk, Brownian motion and the connection with Network Security Risk also will be addressed. People can use the model to determine the implementation structure of the Network Security Systems to prevent intrusions.

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“…As Feng (2009) wrote, a risk model is typically built upon two assumptions on insurance business: Incoming cash flows, such as premium income, interest returns from financial markets; and Outgoing cash flows, such as its financial obligations to insurance claims, operating costs, business overhead costs, etc. There has been a great variety of stochastic processes used in literature to model outgoing cash flows, especially for insurance claims, due to their nature of randomness (see for example Paulsen, 1993;and Feng, 2009). Meanwhile, rising claim costs and higher interest rates began to motivate regulators to scrutinize cash flow models more carefully.…”

Section: Introductionmentioning

confidence: 99%

“…Paulsen (1993) studied the distribution of the stochastic integral Z ∞ under the assumption that R t and S t are independent stochastic processes with independent stationary increments and with a finite number of jumps on each finite time interval. Under the assumption that E[Z 2 ∞ ] < ∞, it was shown that the characteristic function of Z ∞ can be found by solving an integro-differential equation.…”

Section: Introductionmentioning

confidence: 99%

On the Distribution of Discounted Collective Risk Model

Mahmoudvand¹,

Edalati²

2010

JSRI

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Abstract.We study the distribution of discounted collective risk model where the counting process is Poisson. For the model considered here, we obtain mean, variance and moment generating function (m.g.f) of the model. To do this, we use two approaches. In the first approach we use classical methods to obtain the mean and variance. In the second approach we introduce some proper martingale and then we obtain the m.g.f of total loss by features of martingales. Additionally, we use Fast Fourier Transform to numerically calculate the distribution of discounted collective risk model.

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Risk theory in a stochastic economic environment

Cited by 153 publications

References 10 publications

Peculiarities of Implementation of Insurance Foundations in the Social Support of Citizens in Russian Regions (The Case of the Republic of Tatartstan)

Peculiarities of Implementation of Insurance Foundations in the Social Support of Citizens in Russian Regions (The Case of the Republic of Tatartstan)

Aspect in Network Security Risk: A System Ruin Problem

On the Distribution of Discounted Collective Risk Model

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