The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

-free and are relevant to many fields encountering catastrophic risk analysis, such as, perhaps most noticeably, insurance and … risk management. …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

Neumann-Morgenstern expected utility functions using cooperative game theory. The social network literature studies various … ordinary risk . We show that this leads to a class of centrality measures that is fully determined by the degrees (i.e. the …

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a …

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …