The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered … models in order to predict the probability of tail events and the Value-at-Risk and the Expected Shortfall risk measures for …

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 …

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models … usual conditions - completeness and right-continuity of the filtration - are not assumed. Three risk models are formulated … oscillations or jumps, and the third introduces a Gaussian risk model using counting processes to capture premium and claim cash …

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of … the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the … of default. We also propose a model to assess the exposure of the firm to transition risk. …

This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process …. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a …

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment …