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Estimating Risk and Risk Aversion in the Automobile Insurance MarketEstimating Risk and Risk Aversion in the Automobile Insurance Market
(Sociedade Brasileira de Econometria, 2019)
Development of a global seismic risk model
(EARTHQUAKE ENGINEERING RESEARCH INST, 2020-02-02)
Since 2015, the Global Earthquake Model (GEM) Foundation and its partners have been supporting regional programs and bilateral collaborations to develop an open global earthquake risk model. These efforts led to the ...
An evolving possibilistic fuzzy modeling approach for value-at-risk estimation
(2016-02)
Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk ...
Cost of equity estimation for the Brazilian market: a test of the Goldman Sachs model
(2017)
As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian ...
Risk Planning and Management for the Panama Canal Expansion Program
(ASCE-AMER SOC CIVIL ENGINEERS, 2011)
In April 2006, the Panama Canal Authority formally proposed a major expansion of the canal to increase its capacity and make it more productive, safe, and efficient. This proposal included cost and schedule estimates for ...
Approximating risk premium on a parametric arbitrage-free term structure model
(Sociedade Brasileira de Econometria, 2014-11-14)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...
Risk Estimates of Dengue in Travelers to Dengue Endemic Areas Using Mathematical Models
(WILEY-BLACKWELL PUBLISHING, INC, 2009)
Dengue has emerged as a frequent problem in international travelers. The risk depends on destination, duration, and season of travel. However, data to quantify the true risk for travelers to acquire dengue are lacking. We ...
Credit Spreads in Illiquid Markets: Model and Implementation
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2012)
This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term ...