Hirbod Assa

University of Liverpool

Dr.

Institute for Financial and Actuarial Mathematics,

Liverpool, L18 8BF

United Kingdom

http://sites.google.com/site/assahirbod/

SCHOLARLY PAPERS

16

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929

CITATIONS
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18

Scholarly Papers (16)

1.

ARFIMA Models and the Hurst Measures: An Investigation of Commodity Daily Index and Futures Prices

Number of pages: 29 Posted: 17 Feb 2016
Hirbod Assa, Meng Wang and Calum G. Turvey
University of Liverpool, University of Liverpool - Institute of Financial and Actuarial Mathematics and Cornell University - School of Applied Economics and Management
Downloads 107 (250,047)
Citation 1

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Hedging and Pricing in Imperfect Markets Under Non-Convexity

Number of pages: 33 Posted: 15 Apr 2013 Last Revised: 11 Jun 2014
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Downloads 62 (351,203)

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Projection Hedging, Good Deals, Quantile Regression

Hedging and Pricing in Imperfect Markets Under Non-Convexity

FRB Atlanta Working Paper No. 2014-13
Number of pages: 33 Posted: 04 Apr 2015
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Downloads 32 (463,448)
Citation 1

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imperfect markets, risk measures, hedging, pricing rule, quantile regression

Compatibility in Transferable Utility Cooperative Games

Number of pages: 17 Posted: 12 Jun 2012 Last Revised: 01 Nov 2012
Hirbod Assa and Sheridon Elliston
University of Liverpool and Concordia University, Quebec - Department of Economics
Downloads 53 (379,706)

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Joint Games and Compatibility

Number of pages: 26 Posted: 07 Jun 2012 Last Revised: 20 Apr 2014
Hirbod Assa, Sheridon Elliston and Ehud Lehrer
University of Liverpool, Concordia University, Quebec - Department of Economics and Tel Aviv University - School of Mathematical Sciences
Downloads 40 (427,926)
Citation 1

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Cooperative Games, Compatibility, Importance Degree of Participation

4.

Trade-Off between Robust Risk Measurement and Market Principles

Number of pages: 18 Posted: 09 May 2011 Last Revised: 30 Sep 2011
Hirbod Assa
University of Liverpool
Downloads 93 (274,616)
Citation 2

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Coherent Risk Measure, Good Deal, Risk Modification, Sensitivity Function

5.

Market Consistent and Sub-Consistent Valuations in Incomplete Markets

Number of pages: 41 Posted: 14 Sep 2015 Last Revised: 15 Sep 2015
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Downloads 81 (299,195)

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6.

Hedging, Pareto Optimality, and Good Deals

Number of pages: 19 Posted: 18 Sep 2011 Last Revised: 01 Oct 2011
Hirbod Assa and Keivan Mallahi Karai
University of Liverpool and Jacobs University
Downloads 77 (308,269)
Citation 1

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Hedging, Pareto Optimality, Good Deal

7.

Reinsurance Optimal Design with Distortion Risk Measures and Risk Premiums

Number of pages: 20 Posted: 06 Jun 2015
Hirbod Assa
University of Liverpool
Downloads 60 (352,318)

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8.

Claims Reserving with a Stochastic Vector Projection

North American Actuarial Journal, Volume 22, Issue 1, pp. 22-39, March 2018, DOI 10.1080/10920277.2017.1353429
Number of pages: 30 Posted: 21 Aug 2016 Last Revised: 20 Mar 2018
Department of Mathematical Sciences, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Liverpool
Downloads 58 (358,214)

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Stochastic Reserving, Chain-Ladder Distribution-Free, Vector Projection, Best Estimate, Risk Margin, Link Ratios, Loss Development Factors, Homoscedastic and Heteroscedastic Errors, Prediction Errors

9.

Risk Sharing for Individual Risks

Number of pages: 20 Posted: 13 Jun 2014
Hirbod Assa
University of Liverpool
Downloads 48 (390,377)
Citation 1

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Choquet risk measure, individual risk, risk sharing allocations

10.

Risk Management Under a Prudential Policy

Number of pages: 16 Posted: 13 Jun 2014
Hirbod Assa
University of Liverpool
Downloads 47 (393,747)

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Excessive risk taking, Moral hazard, Value at Risk and Conditional Value at Risk, Risk of tail events

11.

On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums

Number of pages: 17 Posted: 13 Jun 2014 Last Revised: 16 Jul 2014
Hirbod Assa
University of Liverpool
Downloads 47 (393,747)
Citation 12

Abstract:

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Distortion risk and premium, optimal reinsurance design

12.

Optimal Risk Allocation in a Market with Non-Convex Preferences

Number of pages: 18 Posted: 13 Jun 2014
Hirbod Assa
University of Liverpool
Downloads 42 (411,712)

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Non-convex preferences, Choquet risk measure, Optimal risk sharing problem

13.

Modeling Frost Losses: Application to Pricing Frost Insurances

North American Actuarial Journal, Volume 22, Issue 1, pp. 137-159, March 2018, DOI:10.1080/10920277.2017.1387571
Number of pages: 38 Posted: 10 May 2017 Last Revised: 20 Mar 2018
University of Liverpool, University of Liverpool - Institute of Financial and Actuarial Mathematics and Monash University - Department of Econometrics & Business Statistics
Downloads 36 (435,264)

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Frost Insurance, Risk Premiums, Stop-Loss Policy

14.

A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics

FRB Atlanta Working Paper No. 2013-8
Number of pages: 30 Posted: 22 Mar 2015
Hirbod Assa, Amal Dabbous and Nikolay Gospodinov
University of Liverpool, Concordia University, Quebec - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 24 (492,575)

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commodity price determination, staggered pricing, high persistence, conditional heteroskedasticity, simulated method of moments

15.

Marginal Indemnification Function Formulation for Optimal Reinsurance

Insurance: Mathematics and Economics, Vol. 67, 2016
Number of pages: 28 Posted: 06 Feb 2017
University of Nebraska Lincoln, University of Waterloo, University of Waterloo and University of Liverpool
Downloads 16 (538,334)
Citation 13

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optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle

16.

Dynamic Set-Up for Designing Optimal Reinsurance Contracts

Number of pages: 46 Posted: 16 Jul 2019
Yunzhou Chen and Hirbod Assa
University of Liverpool and University of Liverpool
Downloads 6 (599,746)

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