In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We show that the pricing bounds obtained from the...

This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures (OEU) as introduced by Geissel et al. (2017) and, in contrast to standard V@R-based ratings, takes into account both the...

We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different states. We consider different parametrizations of...

In this paper we devise a general, stochastic asset-liability management model for life insurance companies, based on the work of Gerstner et al. (2008). While the basic concept and structure are similar, we expand their model and specify several aspects in greater detail. One of the main...

This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes the sum of capital available today and the...