I show that risk-sharing pension plans can reduce some of the shortcomings of defined benefit and defined contributions … plans. The risk-sharing pension plan presented aims to improve the stability of benefits paid to generations of members … find that the risk-sharing plan offers more disappointment than a defined contribution plan, but it eliminates the …

stock market crashes, bank fails and other setbacks that endanger the yield of illiquid savings. In turbulent times, the … insurance motive to save money increases total savings by replacing deposit saving more than one-to-one. The share of deposit … savings depends positively on the expected interest rate, while the share of cash savings is the higher the less there is …

One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

economic interactions, certain risks are associated with their implementation. Risk factors were given a particular priority … during the secondary and primary research, while determining the most relevant risk factors of investment project processes … in relation to the B2B market. The risk map for investment project processes was created in line with the relevant …

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

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

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment … argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …