The Insurance Distribution Directive (IDD) aims to regulate insurance distribution in the EU regardless of distribution channels and means. Although new technologies affect insurance distribution, the IDD does not explicitly regulate this digital transformation. Insurers and intermediaries must comply with detailed business conduct rules that aim to counteract distribution risks. However, the IDD exempts

The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the Uncovered Interest Parity theory, and another based on the fractal analysis of exchange rates series. The

Economic and financial crime is closely related to the changes and the development of societies. In this paper, we question whether the types of economic and financial crimes change as the society develops or not. For our purpose, we use the sample of 27 European Union member countries, for the 2005–2020 time period, which forms an unbalanced panel dataset. The main econometric method is represented

The major focus of this paper is on the sovereign–banks relationship following the COVID-19 pandemic crisis outbreak, with a view to gaining an insight into banks’ exposure to the sovereign. We rely on a series of complementary research approaches, such as desk research, comparative statistical analysis, exploratory learning algorithm, and a deterministic panel regression framework. The analysis reveals

In this paper we study the effect that mean-reverting components in the arithmetic dynamics of electricity spot price have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by neglecting some of the mean-reverting

Old-age retirement benefits are a major concern among the Swiss population but estimating one’s revenue after retirement is challenging due to the Swiss social system’s complexity. In Switzerland, as with many other countries, the risk of poverty for retiree people is high, especially for women who often work part-time. The research presented in this paper proposes a methodology to enable the development

The economic crisis triggered by the COVID-19 outbreak has severely affected the global economy. The ultimate scale of the recession is yet to be determined, but it is likely to be the most dramatic slump since World War II. The impact of the crisis on the financial sector, especially consumer finance, could almost instantly be observed. The article shows how determination and consistency in regulatory

Survival analysis is one of the techniques that could be used to predict loss given default (LGD) for regulatory capital (Basel) purposes. When using survival analysis to model LGD, a proposed methodology is the default weighted survival analysis (DWSA) method. This paper is aimed at adapting the DWSA method (used to model Basel LGD) to estimate the LGD for International Financial Reporting Standard

Specialty literature and solutions in the market have been focusing in the last decade on collecting and aggregating significant amounts of data about transactions (and user behavior) and on refining the algorithms used to identify fraud. At the same time, legislation in the European Union has been adopted in the same direction (e.g., PSD2) in order to impose obligations on stakeholders to identify

This conceptual paper focuses on the relationship between insolvency, capital structure, and value creation. The aim is twofold: to define risk-based capital measures able to absorb the effects of financial distress and avoid corporate default; and to verify conditions and limits of use of these measures in corporate financial policies. The capital measures based on insolvency risk will be defined

The economic crisis of 2008 has highlighted the ineffectiveness of the banks in their disbursement of mortgages which caused the spread of Non-Performing Loans (NPLs) with underlying real estate. With the methods stated by the Basel III agreements, aimed at improving the capital requirements of banks and determining an adequate regulatory capital, the banks without the skills required have difficulties

The occurrence of the COVID-19 pandemic revealed many weaknesses in the functioning of businesses. It turns out that managers are not prepared to manage the enterprise’s resources in a high-risk environment. Considering risk managers’ issues requires reaching for theoretical and practical knowledge about competencies shaped in unpredictable conditions. This study attempts to determine the importance

We show how to solve Merton optimal investment stochastic control problem for Hawkes-based models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims described by the risk model based on GCHP

The widely used Poisson count process in insurance claims modeling is no longer valid if the claims occurrences exhibit dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting process to allow for dispersed datasets. A copula is used to define the dependence structure between the interwaiting time and its subsequent claims amount

Organizational strategic programs are continuously evolving and gaining the attention of policy makers in order to construct organizations’ ecological and socioeconomic systems. The purpose of this study is to examine the relationship between the balanced scorecard (BSC) and sustainable development involving the mediated effect of political and regulatory influence. To achieve the core objectives of

This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings indicate that regular futures market contributes

In stochastic claims reserving, state space models have been used for almost 40 years to forecast loss reserves and to compute their mean squared error of prediction. Although state space models and the associated Kalman filter learning algorithms are very powerful and flexible tools, comparatively few articles on this topic were published during this period. Most recently, several articles have been

The paper introduces a novel approach to ensemble modeling as a weighted model average technique. The proposed idea is prudent, simple to understand, and easy to implement compared to the Bayesian and frequentist approach. The paper provides both theoretical and empirical contributions for assessing credit risk (probability of default) effectively in a new way by creating an ensemble model as a weighted

The emergence of smart technologies in homes comes with various services and functions for everyday life. While a smart home (SH) is associated with great potential in terms of comfort and risk treatment, it also introduces new and alters existing risks. Despite a growing number of academic studies on SH risks, research is fragmented with regard to its focus on certain disciplines and is still rather

The key purpose of this paper is to present an alternative viewpoint for combining expert opinions based on finite mixture models. Moreover, we consider that the components of the mixture are not necessarily assumed to be from the same parametric family. This approach can enable the agent to make informed decisions about the uncertain quantity of interest in a flexible manner that accounts for multiple

Tax avoidance is one of the most frequent reasons for which companies tend to resort to creative accounting techniques. The purpose of the study is to identify which of the eight-variables from the Beneish influences the most or least the outcome of the final score, as a percent, by developing a statistical model. The sample was selected from the Bucharest Stock Exchange and consists of 66 companies

The aim of the present study is to examine the sustainability reports of cooperatives, which may play an important role in achieving the sustainable development goals and help to identify which economic, environmental, and social sustainability indicators cooperatives are currently reporting. For this purpose, a total of 168 sustainability reports were examined for cooperatives that use the Global

Innovation risk in banks, a formalized instrument that is part of banks’ financial and innovative strategies, influences the assessment of innovative activity, demonstrating the importance of forecasting and assessment models of potential innovation risks. Our research into general scientific and specific methods allowed us to: (1) distinguish hierarchical concepts and their order—namely, “banking

The aim of this study is to present the trends and effectiveness of money laundering countermeasures from the perspective of a number of suspicious transactions reported to the Financial Intelligence Units (FIUs), a number of analysis results submitted to law enforcement authorities, and the typologies of cases in European Union Member States. In order to determine the impact of the joint effort in

The aim of our research was to compare the intensity of decline and then increase in the value of basic stock indices during the SARS-CoV-2 coronavirus pandemic in 2020. The survival analysis methods used to assess the risk of decline and chance of rise of the indices were: Kaplan–Meier estimator, logit model, and the Cox proportional hazards model. We observed the highest intensity of decline in the

In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim sizes. This dependence structure is relevant since it is well known that under catastrophic or extreme events

Creative accounting has its background since early studies in 1975, until the present time. It continues to be a subject of great interest for the companies and interested parties. Thus, the current paper will aim to answer the following proposed research questions: 1. Which are the most used methods for detecting the manipulation of financial statements in the literature? 2. Which are the terms that

The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson–Siegel–Svensson methodology in which we utilize the curve-fitting error as an indicator of financial system illiquidity.

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this paper, we aim to explore a combination of these contracts. The survival functions of the ceded loss and the retained loss are firstly investigated. Optimizing such

In insurance rate-making, the use of statistical machine learning techniques such as artificial neural networks (ANN) is an emerging approach, and many insurance companies have been using them for pricing. However, due to the complexity of model specification and its implementation, model explainability may be essential to meet insurance pricing transparency for rate regulation purposes. This requirement