Hirbod Assa

Kent Business School

Dr.

Finance

Canterbury

United Kingdom

http://www.hirbod-assa.com/index.html

SCHOLARLY PAPERS

22

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1,362

SSRN CITATIONS
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Top 24,699

in Total Papers Citations

21

CROSSREF CITATIONS

17

Scholarly Papers (22)

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
Kent Business School, University of Liverpool - Institute of Financial and Actuarial Mathematics and Cornell University - School of Applied Economics and Management
Downloads 144 (241,766)

Abstract:

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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
Kent Business School and Federal Reserve Bank of Atlanta
Downloads 66 (408,025)

Abstract:

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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
Kent Business School and Federal Reserve Bank of Atlanta
Downloads 37 (527,647)

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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
Kent Business School and Concordia University, Quebec - Department of Economics
Downloads 55 (447,540)

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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
Kent Business School, Concordia University, Quebec - Department of Economics and Tel Aviv University - School of Mathematical Sciences
Downloads 44 (493,711)
Citation 2

Abstract:

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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
Kent Business School
Downloads 94 (328,274)
Citation 1

Abstract:

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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
Kent Business School and Federal Reserve Bank of Atlanta
Downloads 85 (349,459)

Abstract:

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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
Kent Business School and Jacobs University
Downloads 83 (354,379)
Citation 2

Abstract:

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Hedging, Pareto Optimality, Good Deal

7.

Cap & Trap and Alternatives in Price Discrimination

Number of pages: 23 Posted: 24 Nov 2020
Imogen Hirsh and Hirbod Assa
Hiscox Insurance UK and Kent Business School
Downloads 81 (359,601)

Abstract:

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Cap and Trap, Price Discrimination, Smooth Pricing

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
ACTUARIAL Group, Monash University - Department of Econometrics & Business Statistics and Kent Business School
Downloads 77 (370,358)

Abstract:

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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.

Reinsurance Optimal Design with Distortion Risk Measures and Risk Premiums

Number of pages: 20 Posted: 06 Jun 2015
Hirbod Assa
Kent Business School
Downloads 64 (409,302)

Abstract:

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10.

Commodity Price Modeling by Optimal Storage Time

Number of pages: 37 Posted: 02 Mar 2021
Amirkabir University of Technology, Kent Business School, Amirkabir University of Technology and Amirkabir University of Technology
Downloads 61 (419,305)

Abstract:

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Storable commodities, storage option, optimal selling time, stationary rational expectations equilibrium

11.

Risk Sharing for Individual Risks

Number of pages: 20 Posted: 13 Jun 2014
Hirbod Assa
Kent Business School
Downloads 54 (444,182)

Abstract:

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Choquet risk measure, individual risk, risk sharing allocations

12.

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
Kent Business School
Downloads 53 (447,960)
Citation 7

Abstract:

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Distortion risk and premium, optimal reinsurance design

13.

Macro Risk Management: An Insurance Perspective

Number of pages: 44 Posted: 13 Aug 2020 Last Revised: 29 Oct 2020
Hirbod Assa
Kent Business School
Downloads 51 (455,461)

Abstract:

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Insurance-by-credit, fiscal and monetary policy, insurance, systemic risk, macro risk, credit risk, COVID-19

14.

Risk Management Under a Prudential Policy

Number of pages: 16 Posted: 13 Jun 2014
Hirbod Assa
Kent Business School
Downloads 49 (463,392)
Citation 2

Abstract:

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

15.

Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses

Number of pages: 25 Posted: 04 Mar 2021
Hirbod Assa and Tim J. Boonen
Kent Business School and University of Amsterdam
Downloads 45 (479,959)

Abstract:

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Insurance mechanisms, risk sharing, contingent premium, COVID-19

16.

Optimal Risk Allocation in a Market with Non-Convex Preferences

Number of pages: 18 Posted: 13 Jun 2014
Hirbod Assa
Kent Business School
Downloads 45 (479,959)

Abstract:

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

17.

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
Kent Business School, University of Liverpool - Institute of Financial and Actuarial Mathematics and Monash University - Department of Econometrics & Business Statistics
Downloads 43 (488,681)

Abstract:

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Frost Insurance, Risk Premiums, Stop-Loss Policy

18.

Price Index Insurances in the Agriculture Markets

Number of pages: 30 Posted: 01 May 2020
Hirbod Assa and Meng Wang
Kent Business School and University of Liverpool - Institute of Financial and Actuarial Mathematics
Downloads 39 (506,634)
Citation 4

Abstract:

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Agricultural risk management; data analysis; pricing; financial engineering; portfolio management

19.

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
Kent Business School, Concordia University, Quebec - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 33 (536,190)

Abstract:

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

20.

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 Kent Business School
Downloads 31 (546,670)
Citation 1

Abstract:

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21.

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 Kent Business School
Downloads 17 (635,943)
Citation 8

Abstract:

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

22.

Regulatory Distortions and Alternatives

Number of pages: 15 Posted: 22 Jun 2020
Hirbod Assa
Kent Business School
Downloads 11 (679,664)

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