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Number of items at this level: 85.

A

Apostolopoulos, C., Halikias, G., Maroukian, K. and Tsaramirsis, G. (2016). Facilitating organisational decision making: a change risk assessment model case study. Journal of Modelling in Management, 11(2), pp. 694-721. doi: 10.1108/JM2-05-2014-0035

Apostolopoulos, Charalampos (2015). Risk assessment for change management within project management: a hierarchical model process approach. (Unpublished Doctoral thesis, City University London)

Asanga, S., Asimit, A.V., Badescu, A. and Haberman, S. (2014). Portfolio Optimization under Solvency Constraints: A Dynamical Approach. North American Actuarial Journal, 18(3), pp. 394-416. doi: 10.1080/10920277.2014.910127

Ashby, S., Bryce, C. ORCID: 0000-0002-9856-7851 and Ring, P. (2018). Risk and the Strategic Role of Leadership. London, UK: ACCA.

Asimit, A.V., Badescu, A. and Cheung, K. C. (2013). Optimal reinsurance in the presence of counterparty default risk. Insurance: Mathematics and Economics, 53(3), pp. 690-697. doi: 10.1016/j.insmatheco.2013.09.012

Asimit, A.V., Badescu, A., Haberman, S. and Kim, E-S. (2016). Efficient risk allocation within a non-life insurance group under Solvency II Regime. Insurance: Mathematics and Economics, 66, pp. 69-76. doi: 10.1016/j.insmatheco.2015.10.008

Asimit, A.V., Badescu, A., Siu, T. K. and Zinchenko, Y. (2015). Capital Requirements and Optimal Investment with Solvency Probability Constraints. IMA Journal of Management Mathematics, 26(4), pp. 345-375. doi: 10.1093/imaman/dpt029

Asimit, A.V., Badescu, A. and Verdonck, T. (2013). Optimal risk transfer under quantile-based risk measurers. Insurance: Mathematics and Economics, 53(1), pp. 252-265. doi: 10.1016/j.insmatheco.2013.05.005

Asimit, A.V. and Chen, Y. (2015). Asymptotic results for conditional measures of association of a random sum. Insurance: Mathematics and Economics, 60, pp. 11-18. doi: 10.1016/j.insmatheco.2014.10.012

Asimit, A.V., Furman, E. and Vernic, R. (2016). Statistical Inference for a New Class of Multivariate Pareto Distributions. Communications in Statistics: Simulation and Computation, 45(2), pp. 456-471. doi: 10.1080/03610918.2013.861627

Asimit, A.V. and Gerrard, R. J. G. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218-234. doi: 10.1016/j.jmva.2015.11.004

Asimit, A.V., Hashorva, E. and Kortschak, D. (2015). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, doi: 10.1093/imaman/dpv020

Asimit, A.V., Vernic, R. and Zitikis, R. (2016). Background Risk Models and Stepwise Portfolio Construction. Methodology and Computing in Applied Probability, 18(3), pp. 805-827. doi: 10.1007/s11009-015-9458-3

Asimit, A.V., Vernic, R. and Zitikis, R. (2013). Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model. Risks, 1(1), pp. 14-33. doi: 10.3390/risks1010014

B

Bacinello, A. R., Chen, A. and Millossovich, P. ORCID: 0000-0001-8269-7507 (2018). The impact of longevity and investment risk on a portfolio of life insurance liabilities. European Actuarial Journal, doi: 10.1007/s13385-018-0175-5

Bacinello, A.R., Olivieri, A., Millossovich, P. and Pitacco, E. (2010). Variable Annuities: Risk Identification and Risk Assessment (Report No. CAREFIN Research Paper No. 14/2010). Milan, Italy: BAFFI CAREFIN, Bocconi University.

Baillon, A., Cabantous, L. and Wakker, P. P. (2012). Aggregating imprecise or conflicting beliefs: An experimental investigation using modern ambiguity theories. Journal of Risk and Uncertainty, 44(2), pp. 115-147. doi: 10.1007/s11166-012-9140-x

Ballotta, L. ORCID: 0000-0002-2059-6281, Loregian, A., Fusai, G. ORCID: 0000-0001-9215-2586 and Perez, M. F. (2018). Estimation of Multivariate Asset Models with Jumps. Journal of Financial and Quantitative Analysis,

Basse, T., Friedrich, M., Krampen, B. and Krummaker, S. ORCID: 0000-0003-2471-8175 (2007). Strategisches Asset-Liability Management in der Versicherungswirtschaft — Ein Ansatz zur integrierten Bilanzstrukturoptimierung. Zeitschrift für die gesamte Versicherungswissenschaft, 96(4), pp. 617-648. doi: 10.1007/BF03353552

Bellavitis, C., Kamuriwo, D. S. and Hommel, U. (2017). Mitigating agency risk between investors and ventures’ managers. Journal of General Management, 43(1), pp. 33-43. doi: 10.1177/0306307017722937

Biais, B., Mariotti, T., Rochet, J.C. and Villeneuve, S. (2010). Large risks, limited liability, and dynamic moral hazard. Econometrica, 78(1), pp. 73-118. doi: 10.3982/ECTA7261

Biffis, E., Blake, D., Pitotti, L. and Sun, A. (2016). The Cost of Counterparty Risk and Collateralization in Longevity Swaps. Journal Of Risk And Insurance, 83(2), pp. 387-419. doi: 10.1111/jori.12055

Biffis, E. and Millossovich, P. (2011). Optimal Insurance with Counterparty Default Risk. SSRN.

Bignozzi, V. and Tsanakas, A. (2013). Characterization and Construction of Sequentially Consistent Risk Measures. SSRN.

Bignozzi, V. and Tsanakas, A. (2016). Model uncertainty in risk capital measurement. Journal of Risk, 18(3), pp. 1-24.

Bignozzi, V. and Tsanakas, A. (2016). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), pp. 949-978. doi: 10.1111/jori.12075

Blake, D. (2014). The consequences of not having to buy an annuity (Report No. PI-1409). London, UK: Pensions Institute.

Blake, D. and Boardman, T. (2013). Spend more today safely: Using behavioral economics to improve retirement expenditure decisions with SPEEDOMETER plans. Risk Management and Insurance Review, 17(1), pp. 83-112. doi: 10.1111/rmir.12007

Blake, D., Cairns, A.J.G., Coughlan, G. D., Dowd, K. and MacMinn, R. (2013). The New Life Market. Journal of Risk and Insurance, 80(3), pp. 501-558. doi: 10.1111/j.1539-6975.2012.01514.x

Blake, D., Courbage, C., MacMinn, R. and Sherris, M. (2011). Longevity Risk and Capital Markets: The 2010-2011 Update. The Geneva Papers On Risk And Insurance: Issues And Practice, 36(4), doi: 10.1057/gpp.2011.27

Blake, D. and Hunt, A. (2016). Basis Risk and Pension Schemes: A Relative Modelling Approach (Report No. PI-1601). London, UK: Pensions Institute.

Bouchaud, J-P., Iori, G. and Sornette, D. (1995). Real-world options: smile and residual risk. Risk, 9(3), pp. 61-63.

Bryce, C. ORCID: 0000-0002-9856-7851, Chmura, T., Webb, R., Stiebale, J. and Cheevers, C. (2017). Internally Reporting Risk in Financial Services: An Empirical Analysis. Journal of Business Ethics, doi: 10.1007/s10551-017-3530-6

Bryce, C. ORCID: 0000-0002-9856-7851, Webb, R., Cheevers, C., Ring, P. and Clark, G. (2016). Should the insurance industry be banking on risk escalation for solvency II?. International Review of Financial Analysis, 46, pp. 131-139. doi: 10.1016/j.irfa.2016.04.014

C

Cabantous, L. ORCID: 0000-0003-3533-1208 and Gond, J-P. ORCID: 0000-0002-9331-6957 (2018). A Performative Reading of The Work of Communication. Management Communication Quarterly,

Cabantous, L., Hilton, D., Kunreuther, H. and Michel-Kerjan, E. (2011). Is imprecise knowledge better than conflicting expertise? Evidence from insurers' decisions in the United States. Journal of Risk and Uncertainty, 42(3), pp. 211-232. doi: 10.1007/s11166-011-9117-1

Chalaby, J. ORCID: 0000-0002-8250-0361 (2018). Hedging against disaster: Risk and mitigation in the media and entertainment industries. International Journal of Digital Television, 9(2), pp. 167-184. doi: 10.1386/jdtv.9.2.167_1

Chen, A. (2017). The impact of behavioral factors on annuitisation decisions and decumulation strategies. (Unpublished Doctoral thesis, City, University of London)

Chen, C. and Handley-Schachler, M. (2016). Investigation of variation between risk attitude and investment biases. The International review of financial consumers, 1(1), pp. 57-80.

Clare, A., Thomas, S., Smith, P. N. and Seaton, J. (2017). Reducing sequence risk using trend following and the CAPE ratio. Financial Analysts Journal, doi: 10.2469/faj.v73.n4.5

D

D'Amato, V., Haberman, S., Piscopo, G. and Russolillo, M. (2014). Computational framework for longevity risk management. Computational Management Science, 11(1), pp. 111-137. doi: 10.1007/s10287-013-0178-2

Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2013). Exchange Rates and Sovereign Risk. SSRN.

Denuit, M., Haberman, S. and Renshaw, A. E. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance, 14(3), pp. 315-327. doi: 10.1017/S147474721400050X

Dimitrova, D. S., Ignatov, Z. G. and Kaishev, V. K. (2017). On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks, 5(3), 43.. doi: 10.3390/risks5030043

Dimitrova, D. S. ORCID: 0000-0003-3169-2735, Kaishev, V. K. and Ignatov, Z. G. (2018). Ruin and Deficit Under Claim Arrivals with the Order Statistics Property. Methodology and Computing in Applied Probability, doi: 10.1007/s11009-018-9669-5

Dowd, K., Blake, D. and Cairns, A. J. G. (2016). The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. Risks, 4(3), 21.. doi: 10.3390/risks4030021

F

Finney, Angus (2014). Project management and the film industry value chain: the impact of cognitive biases on value creation and learning. (Unpublished Doctoral thesis, City University London)

G

Galizzi, M. M., Miraldo, M. and Stavropoulou, C. (2016). In Sickness but Not in Wealth: Field Evidence on Patients' Risk Preferences in Financial and Health Domains. Medical Decision Making, 36(4), pp. 503-517. doi: 10.1177/0272989X15626406

H

Haberman, S., Ntamjokouen, A. and Consigli, G. (2017). Projecting the long run relationship of multi-population life expectancy by race. Journal of Statistical and Econometric Methods, 6(2), pp. 43-68.

Haberman, S. and Vigna, E. (2002). Optimal investment strategies and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics, 31(1), pp. 35-69. doi: 10.1016/S0167-6687(02)00128-2

Hatzopoulos, P. and Haberman, S. (2015). Modeling trends in cohort survival probabilities. Insurance: Mathematics and Economics, 64, pp. 162-179. doi: 10.1016/j.insmatheco.2015.05.009

J

Jarzabkowski, P., Smets, M. and Spee, A. P. (2010). Trading risks: The value of relationships, models and face-to-face interaction in the global reinsurance market. Aston University.

K

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically Designed, Variable Knot Regression Splines: Asymptotics and Inference (Report No. Statistical Research Paper No. 28). Cass Business School, City University, London.

L

Lando, D., Medhat, M., Nielsen, M. S. and Nielsen, S. F. (2013). Additive Intensity Regression Models in Corporate Default Analysis. Journal of Financial Econometrics, 11(3), pp. 443-485. doi: 10.1093/jjfinec/nbs018

Laville, M.K. (2007). Cyber security information sharing in the United States : an empirical study including risk management and control implications, 2000-2003. (Unpublished Doctoral thesis, City University London)

Luciano, E., Spreeuw, J. and Vigna, E. (2016). Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. Risks, 4(2), 16-.. doi: 10.3390/risks4020016

Lucker, F. ORCID: 0000-0003-4930-9773, Seifert, R. W. and Bicer, I. (2018). Roles of inventory and reserve capacity in mitigating supply chain disruption risk. International Journal of Production Research, doi: 10.1080/00207543.2018.1504173

M

Mayhew, L. and Smith, D. (2016). Decomposition of Life Expectancy at Older Ages and Prospects for Ageing Populations. In: Lombard, J., Stern, E. and Clarke, G. (Eds.), Applied Spatial Modelling and Planning. (pp. 172-188). Routledge. ISBN 9781138925700

Mayhew, L. and Smith, D. (2014). The UK Equity Bank - Towards income security in old age. The International Longevity Centre - UK (ILC-UK).

Mayhew, L. and Smith, D. (2015). A jam-jar model of life expectancy and limits to life. International Longevity Centre - UK (ILC-UK).

Mayhew, L., Smith, D. and O’Leary, D. (2017). Paying for Care Costs in Later Life Using the Value in People’s Homes. The Geneva Papers on Risk and Insurance - Issues and Practice, 42(1), pp. 129-151. doi: 10.1057/gpp.2015.34

Mayhew, L., Smith, D. and Wright, D. (2015). Pension pots and how to survive them. London: International Longevity Centre (ILC-UK).

Millossovich, P., Haberman, S., Kaishev, V. K., Baxter, S., Gaches, A., Gunnlaugsson, S. and Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries (IFA) , Life and Longevity Markets Association (LLMA).

Millossovich, P., Villegas, A.M. and Kaishev, V. K. (2018). StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software, 84(3), doi: 10.18637/jss.v084.i03

Mutenga, S. (2001). Risk management for property casualty insurance companies. (Unpublished Doctoral thesis, City University London)

N

Ngwira, B.C. (2004). Risk management and decision making in defined benefit pension schemes. (Unpublished Doctoral thesis, City University London)

Nomikos, N. and Soldatos, O. A. (2010). Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market. Energy Economics, 32(2), pp. 302-312. doi: 10.1016/j.eneco.2009.10.011

Nunes, Paulo (2014). Holistic risk management in commercial air transport. A methodology to apply ISO 31000 to the airline industry. (Unpublished Doctoral thesis, City University London)

P

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2018.09.001

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Euler allocations in the presence of non-linear reinsurance: comment on Major (2018). .

Pesenti, S. M., Millossovich, P. ORCID: 0000-0001-8269-7507 and Tsanakas, A. ORCID: 0000-0003-4552-5532 (2018). Reverse sensitivity testing: What does it take to break the model?. European Journal of Operational Research, doi: 10.1016/j.ejor.2018.10.003

Pesenti, S. M., Millossovich, P. and Tsanakas, A. (2016). Robustness Regions for Measures of Risk Aggregation. Dependence Modeling, 4(1), pp. 348-367. doi: 10.1515/demo-2016-0020

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Kyriakou, I. ORCID: 0000-0001-9592-596X and Visvikis, I.D. (2018). Shipping equity risk behavior and portfolio management. Transportation Research Part A: Policy and Practice, 116, pp. 178-200.

Q

Quinn, Charles Andrew (2012). Examining the Influence of Safety Management in the Personal Spaceflight Industry. (Unpublished Doctoral thesis, City University London)

R

Rickayzen, B. D., Smith, D. and Mayhew, L. (2017). Flexible and affordable methods of paying for long term care insurance. International Longevity Centre – UK (ILC-UK)/Cass Business School.

Ring, P. J., Bryce, C. ORCID: 0000-0002-9856-7851, McKinney, R. and Webb, R. (2016). Taking notice of risk culture – the regulator’s approach. Journal of Risk Research, 19(3), pp. 364-387. doi: 10.1080/13669877.2014.983944

S

Seng Tang, K., Blake, D. and MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update (Report No. PI-1502). London, UK: Pensions Institute.

Spreeuw, J., Nielsen, J. P. and Jarner, S. F. (2013). A nonparametric visual test of mixed hazard models. SORT - Statistics and Operations Research Transactions, 37(2), pp. 153-174.

Spurgin, A. J. and Stupples, D. (2012). Impact of accidents on organizational aspects of nuclear utilities. International Journal of Economics and Management Engineering, 2(4), pp. 132-144.

T

Tsanakas, A. (2012). Modelling: The elephant in the room. The Actuary, 2012,

Tsanakas, A. (2007). Risk measures and economic capital for (re)insurers. In: Everitt, B. and Melnick, E. (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. . Wiley. ISBN 978-0-470-03549-8

Tsanakas, A. and Desli, E. (2005). Measurement and Pricing of Risk in Insurance Markets. Risk Analysis, 25(6), pp. 1653-1668. doi: 10.1111/j.1539-6925.2005.00684.x

Tsanakas, A. ORCID: 0000-0003-4552-5532 and Smith, A. (2007). High dimensional modelling and simulation with asymmetric normal mixtures (Report No. Actuarial Research Paper No. 182). London: Faculty of Actuarial Science & Insurance, City University London.

W

Wang, R., Bignozzi, V. and Tsanakas, A. (2015). How Superadditive Can a Risk Measure Be?. SIAM Journal on Financial Mathematics, 6(1), pp. 776-803. doi: 10.1137/140981046

Z

Zhao, Shouqi (2014). Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications. (Unpublished Doctoral thesis, City University London)

This list was generated on Wed Oct 17 04:20:22 2018 UTC.