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Open Access Article
1 - Introduction of New Risk Metric using Kernel Density Estimation Via Linear Diffusion
Ahmad Darestani Farahani Mohammadreza Miri Lavasani Hamidreza Kordlouie Ghodratallah TalebniaAny investor in stock markets around the world has a deep concern about the shortfalls of allocation wealth to any stock without accurate estimation of related risks. As we review the literature of risk management methods, one of the main pillars for the risk management MoreAny investor in stock markets around the world has a deep concern about the shortfalls of allocation wealth to any stock without accurate estimation of related risks. As we review the literature of risk management methods, one of the main pillars for the risk management framework in defining risk measurement approach using historical data is the estimation of the probability distribution function. In this paper, we propose a new measure by using kernel density estimation via diffusion as a nonparametric approach in probability distribution estimation to enhance the accuracy of estimation and consider some distribution characteristics, investor risk aversion and target return which will make it more accurate, compre-hensive and consistent with stock historical performance and investor concerns. Manuscript profile -
Open Access Article
2 - Patterning Mergers and Acquisitions by Network Data Envelopment Analysis in the Iranian Insurance Companies
Elham Sadeghi Mohsen Rostamy-Malkhalifeh Mohammad Reza Miri Lavasani mohammad hamed khan mohammadiOne of the most important factors of the development of an economy is the mergers or acquisitions (M&A) at the level of its active companies such as insurance companies. The main purpose of this study is to examine the efficiency of merger and acquisition before doi MoreOne of the most important factors of the development of an economy is the mergers or acquisitions (M&A) at the level of its active companies such as insurance companies. The main purpose of this study is to examine the efficiency of merger and acquisition before doing this process in the insurance industry using network data envelopment analysis and can select the companies that potentially facilitate achieving the purposes of the merger and acquisition process and improve of this action. For this purpose, in this study, first the efficiency of 20 insurance companies was measured through the Modified Slack-Based Measure (MSBM) in the two-stage data envelopment analysis approach during three years 2017, 2018 and 2019. Then, considering the calculated efficiency, Asia Insurance Company, Parsian, Dey, Pasargad, Kowsar and Taavon, which have had efficient performance in the last three years, were excluded from the calculations and other companies were selected for M&A . After ensuring that no monopoly is considered via Herfindahl- Hirschman Index, M&A is performed and then the overall efficiency was measured and it was divided into three parts: technical, harmony and scale. The results showed that the two consolidations Dana-Mihan and Dana-Sina had the best efficiency and the three consolidations Alborz-Mellat, Sina-Arman and Sina-Sarmad had the lowest efficiency and potential for the highest improvement. Calculations also showed that if the scale effect in the composition is greater than 1, then the coordination effect is smaller than 1 and the inverse relationship are not necessarily satisfied. Manuscript profile
List of Articles Ahmad Miri Lavasani
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