Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a financial viewpoint, natural catastrophes represent idiosyncratic risks,diversifiable at the world level. But for reasons analyzed in this pap er reinsurance markets are unable to...

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...

We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...

The financial industry puts the Basle Committee under strain to align regulatory capital with economic capital. This could be reached by allowing more flexibility in the choice of risk measure for regulatory reporting. Markus Leippold and Paolo Vanini show that if banks could use the...

This paper provides a new formal framework to value final-salary defined-benefit pension plans. The valuation framework proposed builds on the familiar idea of discounting future cash flows. Hence, the first step of the valuation process is to find a closed-form solution of the pension fund's...

In this paper, a closed-form solution for future cash flows of defined benefit pension plans is derived. Cash inflows include contributions from active employees and transfer payments from newly recruited employees. Cash outflows involve benefit payments to disabled and retired beneficiaries,...