This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

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 …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures …

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 …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk - (p. 3 …

Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some …