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 …

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 …

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 …

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the … context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options … be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non …

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 …