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 …

-order risk aversion, with the Omega measure, and with a tendency to over-insure modest risks that has been been extensively …

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 …

The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP …) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …

, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk …We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically … context of an example, we show that the presence of production flexibility reduces the incentive to hedge for all risk averse …

basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …The design and development of post-retirement income products require the assessment of longevity risk, as well as a …-based value index for life insurers and pension funds to manage longevity risk. There are two innovations in the development of …

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for …