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 …

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 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 …

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced … region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike … price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further …

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 …

We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing … longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply … uncertainty of model selection into the modeling of longevity basis risk. The hedging results under this approach may …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …

trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a … improved robustness in terms of correlation structures and hedging performance, offering a new perspective on treating cross …

, (2) establishing life insurance completeness for effective mortality risk hedging, (3) demonstrating the feasibility of …This paper explores optimal consumption and investment strategies for agents facing mortality risk within a complete …-price process, to compare consumption streams and utilize life insurance as a strategic hedging instrument. To model the ability of …

Little in the scholarly economics literature is directed specifically to the performance of stable value funds … portfolios across a broad range of risk aversion levels. We discuss factors that contributed to stable value funds’ past …