. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

In the context of stochastic uncertainty and the increasing complexity of logistics processes in the retail sector … purpose of the present work is to assess the impact of risk events and unstable conditions on the level of quality of supply … chain services and economic indicators of the retail trade network. Using the anyLogistix software tool, a simulation model …

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

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 …

with sustainable practices. This paper introduces Sensitivity Value-at-Risk (SensitivityVaR), an advanced distortion risk … measure that combines Value-at-Risk (VaR) and Expected Shortfall (ES) with the Cornish-Fisher expansion. SensitivityVaR … provides a more robust framework for managing risk, particularly under extreme market conditions. By incorporating first- and …

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 …

. The primary insurer’s point of view is documented in terms of assessment of risk and payment of reinsurance premium. A … reinsurance. Assuming the classical compound Poisson risk model with choices of claim size distributions (classified as heavy … LCR reinsurance than for EOL while still maintaining company value. Both methods reduce risk considerably as compared with …

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