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Risk Theory and Sustainable Economy

A special issue of Sustainability (ISSN 2071-1050). This special issue belongs to the section "Economic and Business Aspects of Sustainability".

Deadline for manuscript submissions: closed (30 June 2023) | Viewed by 1911

Special Issue Editor


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Guest Editor
Department Statistics and Actuarial—Financial Mathematics, University of the Aegean, GR 83200 Samos, Greece
Interests: risk theory; actuarial science; macroeconomics
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The contribution of Risk Theory in Sustainable Economy is an old issue and during the last century received accelerating attention. However, the challenges of current century have increased dramatically and we need only to mention the Covid-19 pandemic, where the economic stability remains as constant background.

The actuarial mathematics provide a solid basement of the Risk Theory and they contain most of the features of the modern stochastic analysis. This endorses to approach the Economic Stability from rigorous and strict point of view and surpass the sociological ambiguities.

From the other side the economical considerations and especially the equilibrium concepts are reinforcing the exploration of the stability structure and can bring new ideas in the way the safety and consistency are conceived and managed.

This special issue targets to new contributions in understanding the Economical Stability. However, the special feature that gives the clue is the creative involvement of Risk Theory and further, the corresponding asymptotic results in the estimation of the ruin probability.

Any approach from extreme value theory, probabilistic inequalities, stochastic differential equations, stochastic optimization, or statistical implementation are welcomed.

The well grown mathematical background of Risk Theory can be used in improving the stability methodology.

Prof. Dr. Dimitrios G. Konstantinides
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Sustainability is an international peer-reviewed open access semimonthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • asymptotic analysis
  • stochastic analysis
  • stochastic control theory
  • non-life insurance
  • pension funds
  • mortality rates
  • macroeconomics
  • optimal control

Published Papers (1 paper)

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Research

28 pages, 2773 KiB  
Article
Dominance Tracking Index for Measuring Pension Fund Performance with Respect to the Benchmark
by Milos Kopa, Kristina Sutiene, Audrius Kabasinskas, Ausrine Lakstutiene and Aidas Malakauskas
Sustainability 2022, 14(15), 9532; https://doi.org/10.3390/su14159532 - 03 Aug 2022
Cited by 3 | Viewed by 1391
Abstract
This paper focuses on the performance of Lithuanian life-cycle second-pillar pension funds. Every such fund first specifies its benchmark and then attempts to follow the benchmark in some way. This is a form of regulation, meaning that every such fund is somehow regulated [...] Read more.
This paper focuses on the performance of Lithuanian life-cycle second-pillar pension funds. Every such fund first specifies its benchmark and then attempts to follow the benchmark in some way. This is a form of regulation, meaning that every such fund is somehow regulated and controlled by the central bank authorities. The goal of this paper is twofold: (i) to analyse the returns of the pension funds with respect to their benchmarks and (ii) to determine whether less strict regulation leads to a better outperformance of the fund with respect to the benchmark. In order to achieve this, we introduced a new performance measure called the dominance-tracking index, which combines the ideas of almost stochastic dominance relations and tracking errors. While the tracking error and its modifications measure the strength of the regulation, almost stochastic dominance provides information about preferences between the funds and their benchmarks. Therefore, the new index was constructed in such a way as to take into account both approaches. The empirical section of the study then presents the results separately for the considered pension managers and participants’ age groups as usual in the life-cycle pension funds analysis. Finally, by taking into account various periods, we studied the effects of the COVID-19 crisis. Full article
(This article belongs to the Special Issue Risk Theory and Sustainable Economy)
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