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

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 …

One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of … the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads …

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 …

Credit risk is a critical issue that affects banks and companies on a global scale. Possessing the ability to … accurately predict the level of credit risk has the potential to help the lender and borrower. This is achieved by alleviating … trees, random forests, and stochastic gradient boosting to add to the current literature on credit-risk modelling. The …

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally … assets that works even if the data are incomplete and asynchronous. Alternatively, to find risk-neutral parameters, the least … propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected …

purpose of the present work is to assess the impact of risk events and unstable conditions on the level of quality of supply … occurrence of a man-made risk event and the shutdown of production of one of the suppliers on the financial, customer, and … retailer, which is 3% of the expected revenue. We believe that risk management in supply chains is becoming increasingly …

and calculation of risk measures. Parameters are estimated on three bivariate series, using a two-stage methodology … features. As an application, we consider investment strategies for a portfolio with two risky assets and a risk-free cash … account. We calculate value-at-risk (VaR) values at a 95% risk level using both simulation-based and distribution …

pension plan's optimal risk management problem focusing on minimizing the solvency risk over a finite time horizon and to … investigate the investment strategies in a market, comprising a longevity-indexed bond and a risk-free asset, under stochastic … analysis implicates that longevity-indexed bonds significantly reduce solvency risk compared to zero-coupon bonds, offering a …