measures of risk. Furthermore, Qα(X ; p) is the optimal value in a certain minimization problem, the minimizers in which are … problems. In finance, Q0(X;p) and Q1(X ; p) are known as the value at risk (VaR) and the conditional value at risk (CVaR). The … sensitivity to risk. The problems of the effective computation of the bounds are considered. Various other related results are …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …

market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches … between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two …-population model to measure and assess longevity basis risk is required. In this paper, we aim to construct a two-population mortality …