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Dissertations / Theses on the topic 'The Theory of Risk'

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Published: 4 June 2021

Last updated: 25 April 2022

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1

Alexander, David R. 1965. "Weak approximation in risk theory." Thesis, McGill University, 1997. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=27270.

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The most natural stochastic models for describing the time evolution of the collective risk reserves of an insurance company are jump or point process models. However, there are difficulties in obtaining from such models explicit and tractable expressions for important quantities such as the probability of ruin and these have spawned the development of procedures to approximate point process models. In this thesis, the nature of weak approximations, as put forward by Iglehart (1969) and Furrer, Michna & Weron (1996), is examined closely with a view toward assessing their value. An interpretati

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2

Alexander, David R. "Weak approximation in risk theory." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape16/PQDD_0006/MQ29644.pdf.

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3

Baur, Cordula. "Risk Estimation in Portfolio Theory." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05609706001/$FILE/05609706001.pdf.

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4

Kasprowicz, Tomasz. "Threshold Theory--modelling risk attitude /." Available to subscribers only, 2008. http://proquest.umi.com/pqdweb?did=1650506301&sid=11&Fmt=2&clientId=1509&RQT=309&VName=PQD.

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5

Pilota, Evdoxia. "Extreme value thepory forvalue at risk estimation : Theory and empirical application." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.499763.

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6

Zhu, Wei. "Fractional differential equations in risk theory." Thesis, University of Liverpool, 2018. http://livrepository.liverpool.ac.uk/3018514/.

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This thesis considers one of the central topics in the actuarial mathematics literature, deriving the probability of ruin in the collective risk model. The classical risk model and renewal risk models are focused in this project, where the claim number processes are assumed to be Poisson counting processes and any general renewal counting processes, respectively. The first part of this project is about the classical risk model. We look at the case when claim sizes follow a gamma distribution. Explicit expressions for ruin probabilities are derived via Laplace transform and inverse Laplace tran

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7

Abbot, Tyler. "Heterogeneous risk preferences : theory and empirics." Thesis, Paris, Institut d'études politiques, 2019. http://www.theses.fr/2019IEPP0031.

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Cette thèse étudie la solution à plusieurs modèles de marchés financiers avec des agents hétérogènes dont le taux d'aversion au risque diffère. Le premier chapitre résout un modèle avec des marchés complets et des dividendes définis par un mouvement brownien géométrique. Le deuxième chapitre résout un modèle similaire, mais avec un dividende qui revient à sa moyenne et montre comment on peut estimer le modèle. Le troisième chapitre résout le modèle du premier chapitre quand les agents sont confrontés à des contraintes convexes de portefeuille<br>This thesis studies the solution to several mode

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8

Hoyes, Thomas W. "Risk homeostasis theory in simulated environments." Thesis, Aston University, 1992. http://publications.aston.ac.uk/10858/.

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This thesis has two aims. First, it sets out to develop an alternative methodology for the investigation of risk homeostasis theory (RHT). It is argued that the current methodologies of the pseudo-experimental design and post hoc analysis of road-traffic accident data both have their limitations, and that the newer 'game' type simulation exercises are also, but for different reasons, incapable of testing RHT predictions. The alternative methodology described here is based on the simulation of physical risk with intrinsic reward rather than a 'points pay-off'. The second aim of the thesis is to

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9

Liu, Yi. "Essays on systemic risk and risk spillovers." Thesis, University of Birmingham, 2017. http://etheses.bham.ac.uk//id/eprint/7313/.

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This thesis studies the implications of risk spillover effects in the systemic risk regarding the financial institutions and the financial system. We study the risk spillovers from sovereign CDS market to financial CDS market and the systemic risk contributions of sovereign countries. We then extend the previous study to investigate the dynamics of sovereign risk spillovers to the sovereign bond market, sovereign CDS market, and the national banking sectors, and we examine the interdependence of these markets. Lastly, we study the implications of network interconnectedness of the financial ins

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10

Mönkkönen, Heikki Markus. "Modeling default risk, theory and empirical evidence." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq22485.pdf.

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11

Chau, Ki-wai, and 周麒偉. "Fourier-cosine method for insurance risk theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/208586.

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In this thesis, a systematic study is carried out for effectively approximating Gerber-Shiu functions under L´evy subordinator models. It is a hardly touched topic in the recent literature and our approach is via the popular Fourier-cosine method. In theory, classical Gerber-Shiu functions can be expressed in terms of an infinite sum of convolutions, but its inherent complexity makes efficient computation almost impossible. In contrast, Fourier transforms of convolutions could be evaluated in a far simpler manner. Therefore, an efficient numerical method based on Fourier transform is pursue

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12

Kyriacou, Marios Nicou. "Financial risk measurement and extreme value theory." Thesis, University of Cambridge, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.621397.

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13

Sokolova-Maria, Maria. "Risk measure changes and portfolio optimization theory." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/11376.

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14

Nilsson, Joachim, and Gabriel Adéla. "Reducering utav enkät : Risk mot icke-risk." Thesis, Linköpings universitet, Statistik och maskininlärning, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-179203.

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I denna rapport kommer det jämföras tre modeller inom tre olika metoder som är “Klassisk test teori”, “Itemrespons theory” och “Forward selection” för att undersöka ifall det är möjligt att minska antalet frågor ner tillcirka fyra frågor och ändå kunna prediktera de utfall som erhåller ingen risk i en enkät om spelproblematik medgod säkerhet. För varje metod så kommer det presenteras en modell med två frågor, en modell med fyra frågoroch slutligen en modell med sex frågor samt dess precision på hur väl de kan prediktera de med ingen riskkorrekt. Samtlig modellframtagning använder sig utav en t

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15

Sewnath, Neville. "Pricing of credit risk and credit risk derivatives : from theory to implementation." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/5614.

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16

McClure, Jason B. "The domestic and international dimensions of risk : prospect theory and Argentina /." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2004. http://library.nps.navy.mil/uhtbin/hyperion/04Sep%5FMcClure.pdf.

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Thesis (M.A. in National Security Affairs)--Naval Postgraduate School, Sept. 2004.<br>Thesis Advisor(s): Maria Rasmussen, Harold Trinkunas. Includes bibliographical references (p. 69-73, 75-77). Also available online.

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17

Lam, Kevin Chee-keung. "Risk adjusted audit pricing, theory and empirical evidence." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ33908.pdf.

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18

Kwan, Kwok-man. "Ruin theory under a threshold insurance risk model." Click to view the E-thesis via HKUTO, 2007. http://sunzi.lib.hku.hk/hkuto/record/B38320034.

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19

Zhu, Jinxia. "Ruin theory under Markovian regime-switching risk models." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203980.

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20

Besley, T. J. "The theory of health risk and health insurance." Thesis, University of Oxford, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.384692.

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21

Kwan, Kwok-man, and 關國文. "Ruin theory under a threshold insurance risk model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38320034.

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22

Zhu, Jinxia, and 朱金霞. "Ruin theory under Markovian regime-switching risk models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203980.

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23

Liu, Luyin, and 劉綠茵. "Analysis of some risk processes in ruin theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hdl.handle.net/10722/195992.

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In the literature of ruin theory, there have been extensive studies trying to generalize the classical insurance risk model. In this thesis, we look into two particular risk processes considering multi-dimensional risk and dependent structures respectively. The first one is a bivariate risk process with a dividend barrier, which concerns a two-dimensional risk model under a barrier strategy. Copula is used to represent the dependence between two business lines when a common shock strikes. By defining the time of ruin to be the first time that either of the two lines has its surplus level be

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24

Kaczuwka, Alycia. "Mass-elite dichotomy in application of risk theory." Honors in the Major Thesis, University of Central Florida, 2000. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/195.

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This item is only available in print in the UCF Libraries. If this is your Honors Thesis, you can help us make it available online for use by researchers around the world by following the instructions on the distribution consent form at http://library.ucf.edu/Systems/DigitalInitiatives/DigitalCollections/InternetDistributionConsentAgreementForm.pdf You may also contact the project coordinator, Kerri Bottorff, at kerri.bottorff@ucf.edu for more information.<br>Bachelors<br>Arts and Sciences<br>Political Science

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25

ALMEIDA, Marcos Antonio Martins de. "Risk management in complex projects using decision theory." Universidade Federal de Pernambuco, 2012. https://repositorio.ufpe.br/handle/123456789/5986.

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Made available in DSpace on 2014-06-12T17:43:02Z (GMT). No. of bitstreams: 2 arquivo9619_1.pdf: 2630024 bytes, checksum: 6d1543b5e2bb9fb435cedbdaee12c16d (MD5) license.txt: 1748 bytes, checksum: 8a4605be74aa9ea9d79846c1fba20a33 (MD5) Previous issue date: 2012<br>O gerenciamento de projetos complexos em um mundo altamente competitivo, tornouse um desafio para os decisores e executivos mundiais. O surgimento de inovações tecnológicas cada vez mais rápidas, juntamente com a velocidade das mudanças do mercado e restrições das mais diversas ordens, requerem cada vez mais do gestor, ações de

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26

Koumou, Nettey Boevi Gilles. "Rao's Quadratic Entropy, Risk Management and Portfolio Theory." Doctoral thesis, Université Laval, 2017. http://hdl.handle.net/20.500.11794/28292.

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Cette thèse porte sur le concept de la diversification et sa mesure en théorie des choix de portefeuille. La diversification est un concept clé en finance et en économique, et est au coeur de la théorie des choix de portefeuille. Elle représente l’un des plus importants outils de gestion du risque. Ainsi, plusieurs mesures de diversification de portefeuille ont été proposées, mais aucune ne s’est révélée totalement satisfaisante et la discipline recherche toujours une approche unifiée et cohérente de mesure et gestion de la diversification. Cette thèse répond à ce besoin et développe une nouve

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27

Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.

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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both

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28

Eliasson, Hampus. "Values at Risk." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347408.

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29

Badger, Erin Houghtaling. "The influence of risk taking on student creation of mathematical meaning : Contextual Risk Theory /." Diss., CLICK HERE for online access, 2009. http://contentdm.lib.byu.edu/ETD/image/etd2965.pdf.

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30

Houghtaling, Erin Nicole. "The Influence of Risk Taking on Student Creation of Mathematical Meaning: Contextual Risk Theory." BYU ScholarsArchive, 2009. https://scholarsarchive.byu.edu/etd/1738.

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The primary concerns of mathematics educators are learning and teaching mathematics. It is, therefore, natural to ask "what implications and benefits might there be if learning were perceived as a risk-taking event?" (Atkinson, 1957, p. 266). The underlying motivation of this study is to analyze the risks students take in the mathematics classroom and how risk influences student creation of meaning and development of understanding. I define risk in the mathematics classroom to be any observable act that entails uncertain outcome. The research presented here focuses on a table of four students

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31

Sousa, Sergio Almeida de. "Essays on behaviour under risk." Thesis, University of Nottingham, 2010. http://eprints.nottingham.ac.uk/14497/.

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This thesis consists of three essays on behaviour under risk. First, I investigate experimentally three related questions: (1) the effects of small-scale changes in wealth on risk attitudes; (2) whether potential changes in risk attitudes induced by such wealth increment are affected by (a) by the span of time this small-scale change in wealth has been anticipated for, and (b) the form taken by the wealth increment. There are three major results. One, whether risk attitudes are affected by a small-scale change in wealth depends on the form taken by the wealth increment. Two, that failure in re

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32

Feng, Guoliang. "Essays on Local Housing Risk and Return." Thesis, The George Washington University, 2015. http://pqdtopen.proquest.com/#viewpdf?dispub=3716188.

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<p> Local returns to housing investment across the U.S. cities are estimated and applied to explain the stockholding puzzle, i.e. the tendency for US homeowners to hold only housing and risk free assets in their portfolios. Several empirical problems exist in the previous studies: first, rental returns are always ignored or just assumed to be constant across cities; second, the CAP rates at the city level are often based on the problematic BLS Rent Index (the BLS CAP rate) which is questioned by Ambrose et al (2014). </p><p> Using micro data from American Housing Survey (AHS), CAP rates for

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33

Lawson, John, and not provided. "Theory of Real Estate Valuation." RMIT University. Economics, Finance & Marketing, 2009. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20090306.125134.

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It can be stated that where a valuation is used as an assessment of risk there is no research-backed theory of valuation, that is one that explains the methodology used and is validated by a hypothesis. The significance of this thesis is the recognition of the ignorance, and confusion that exists and the need of a theory to explain methodology verified by a hypothesis or hypotheses. This thesis is the result of systemic research in an attempt to define the confusion that exists, resulting from the application of inappropriate economic theories in valuation. This research also attempts to f

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34

Vesterberg, Mattias. "Prospect Theory : An experimental analysis of decision involving risk." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-55633.

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35

Martinez-Correa, Jimmy. "Decisions under Risk, Uncertainty and Ambiguity: Theory and Experiments." Digital Archive @ GSU, 2012. http://digitalarchive.gsu.edu/rmi_diss/29.

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I combine theory, experiments and econometrics to undertake the task of disentangling the subtleties and implications of the distinction between risk, uncertainty and ambiguity. One general conclusion is that the elements of this methodological trilogy are not equally advanced. For example, new experimental tools must be developed to adequately test the predictions of theory. My dissertation is an example of this dynamic between theoretical and applied economics.

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36

Baldwin, Sheena. "Extreme value theory : from a financial risk management perspective." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/53743.

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Thesis (MBA)--Stellenbosch University, 2004.<br>ENGLISH ABSTRACT: Risk managers and regulators are primarily concerned with ensuring that there is sufficient capital to withstand the effects of adverse movements in market prices. The accurate prediction of the maximum amount that a financial institution can expect to Jose over a specified period is essential to guard against catastrophic losses that can threaten the viability of an individual finn or the stability of entire markets. Value-at-risk (VaR) is a quantile-based measure of risk that is widely used for calculating the capital ad

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37

Wang, Yi. "Decomposing Variance Components for Risk Perceptions Using Generalizability Theory." Bowling Green State University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1498785199689687.

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38

Tristani, Oreste. "Essays on exchange rate risk." Thesis, University of Warwick, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.339834.

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39

Wong, Tsun-yu Jeff, and 黃峻儒. "On some Parisian problems in ruin theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206448.

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Traditionally, in the context of ruin theory, most judgements are made on an immediate sense. An example would be the determination of ruin, in which a business is declared broke right away when it attains a negative surplus. Another example would be the decision on dividend payment, in which a business pays dividends whenever the surplus level overshoots certain threshold. Such scheme of decision making is generally being criticized as unrealistic from a practical point of view. The Parisian concept is therefore invoked to handle this issue. This idea is deemed more realistic since it allows

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40

Shirzadi, Nazanin. "Credit risk modeling for multilateral lenders." Thesis, University of Glasgow, 2015. http://theses.gla.ac.uk/6592/.

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Financial crashes, bubbles, panic in the banking industry, currency crises and even sovereign defaults continue to occur periodically. Therefore, when international or multilateral lenders contemplate on lending credit to customers who are located in different countries, they require a meticulous method of analyzing every aspect to select the best customers, amongst numerous credit proposals from different countries. Moreover, while lending to selected customers, multilateral lenders need to take into account and consider the risk premium in their pricing methodology. Even after having selecte

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41

Rossiensky, Nathalie. "Essays in the theory of financial intermediation." Thesis, London Business School (University of London), 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287576.

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42

Walker, Kenneth C. "Rhetorics of Uncertainty: Networked Deliberations in Climate Risk." Diss., The University of Arizona, 2015. http://hdl.handle.net/10150/556604.

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This dissertation applies a mixed-methods model across three cases of climate risk in order to examine the rhetorical dynamics of uncertainties. I argue that a rhetorical approach to uncertainties can effectively scaffold civic agency in risk communication by translating conflicting interests and creating sites of public participation. By tracing the networks of scientists and their artifacts through cases of climate risk, I demonstrate how the performances of scientific ethos and their material-discursive technologies facilitate the personalization of risk as a form of scientific prudence, an

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43

Siokis, Vasilios. "Risk measurement and management of insurance companies." Thesis, City University London, 2001. http://openaccess.city.ac.uk/8400/.

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This thesis reviews some fundamental risk measurement and management concepts that insurance companies will face in the following years. The first chapter evaluates the theoretical and practical framework of the different approaches with respect to the determination of regulatory capital held by insurance companies. A critical assessment and substantial interpretation of these approaches is performed. Moreover, a number of new approaches is brought forward in order to add a more thorough and clear way of evaluating the level of the regulatory capital. Then, we provide evidence of the presence

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44

Kroon, Rodney Stephen. "A framework for estimating risk." Thesis, Link to the online version, 2008. http://hdl.handle.net/10019.1/1104.

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Navarro, Christi M. "Gender Differences in the Influence of Protective Factors, Risk Factors, and Health Risk Behaviors on HIV Risk Behaviors Among Youth in South Florida." FIU Digital Commons, 2013. http://digitalcommons.fiu.edu/etd/845.

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Adolescents engage in a range of risk behaviors during their transition from childhood to adulthood. Identifying and understanding interpersonal and socio-environmental factors that may influence risk-taking is imperative in order to meet the Healthy People 2020 goals of reducing the incidence of unintended pregnancies, HIV, and other sexually transmitted infections among youth. The purpose of this study was to investigate gender differences in the predictors of HIV risk behaviors among South Florida youth. More specifically, this study examined how protective factors, risk factors, and health

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46

NiewoÌˆhner, JoÌˆrg. "Using mental model theory to understand risk discourse : about the importance of consensus to risk communication." Thesis, University of East Anglia, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.365117.

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47

Johnson, Vanessa Svyantek Daniel J. "Risk style, regulatory focus, and the situation in risky choice decision making." Auburn, Ala., 2009. http://hdl.handle.net/10415/1986.

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48

Raykov, Radoslav S. "Essays in Applied Microeconomic Theory." Thesis, Boston College, 2012. http://hdl.handle.net/2345/bc-ir:104087.

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Thesis advisor: Utku Unver<br>This dissertation consists of three essays in microeconomic theory: two focusing on insurance theory and one on matching theory. The first chapter is concerned with catastrophe insurance. Motivated by the aftermath of hurricane Katrina, it studies a strategic model of catastrophe insurance in which consumers know that they may not get reimbursed if too many other people file claims at the same time. The model predicts that the demand for catastrophe insurance can ``bend backwards'' to zero, resulting in multiple equilibria and especially in market failure, which i

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49

Agering, Harald. "True risk of illiquid investments." Thesis, KTH, Matematik (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-233577.

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Alternative assets are becoming a considerable portion of global financial markets. Some of these alternative assets are highly illiquid, and as such they may require more intricate methods for calculating risk and performance statistics accurately. Research on hedge funds has established a pattern of risk being understated and various measures of performance being overstated due to illiquidity of the assets. This paper sets out to prove the existence of such bias and presents methods for removing it. Four mathematical methods aiming to adjust statistics for sparse return series were considere

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50

Ezz, Lama. "Asset securitisation and EU bank credit risk behaviour : a stakeholder theory perspective." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/14593.

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This study aims to investigate the effectiveness of using asset securitisation as risk management technique in banks. This study examines the direct impacts of asset securitisation on the riskiness of banks’ loan portfolios as well as the indirect impacts on the subsequent financial stability. This study also tests the changes in banks’ equity capital and liquidity as a result of using asset securitisation in order to understand their potential contributions to the examined bank risk behaviour. Furthermore, this study tests the impacts of adopting the Basel capital requirements on banks’ expos

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