Related papers: Risk measures induced by efficient insurance contr…
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic…
De Finetti's optimal reinsurance is a set of contracts, one for each risk in a portfolio, that caps the retained aggregate variance to a pre-specified level while minimizing total expected loss. The premiums are determined using the…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richardson, Stanton and Whitelaw (2004), Rossello (2008),…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
Evaluating rare-event forecasts is challenging because standard metrics collapse as event prevalence declines. Measures such as F1-score, AUPRC, MCC, and accuracy induce degenerate thresholds -- converging to zero or one -- and their values…
A meticulous assessment of the risk of impacts associated with extreme wind events is of great necessity for populations, civil authorities as well as the insurance industry. Using the concept of spatial risk measure and related set of…
Although resource-limited networked autonomous systems must be able to efficiently and effectively accomplish tasks, better conservation of resources often results in worse task performance. We specifically address the problem of finding…
With the robust uptick in the applications of Bayesian external data borrowing, eliciting a prior distribution with the proper amount of information becomes increasingly critical. The prior effective sample size (ESS) is an intuitive and…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
In the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement by using stochastic models of projection and valorization.…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent…
Parametric insurance contracts translate index measurements to compensation for policyholders' losses using predefined payment schemes. These need to be designed carefully to keep basis risk, i.e. the disparity between payouts and true…
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents a theoretical utopia. Furthermore, significant risk…