We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of …-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The …

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures … results hold even if the CVaR is used, because all downside risk measures are difficult to estimate. The popularity of … variance as a measure of risk appears therefore to be rationally justified. …

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …

area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and … ambiguity-averse investor allocating resources to a risk-free asset, a market index, a green stock, and a brown stock. The study … study contrasts ambiguity-averse investors with their non-ambiguity counterparts, revealing more cautious risk exposures …

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 …

The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi …-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute …

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …