results of the two-risk model of Rothschild and Stiglitz (1976), but including the latter as a special case. Rothschild and … information. Third, the potential non-participation of one type risk arises despite competition, depending on the degree of … information. Last, in a public voluntary regime, one type risk may prefer to be uninsured and still consume healthcare. …

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …

competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to …