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

We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The … main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle … for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is …

measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we … sample covariance matrix in order to reduce model risk. …

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …