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 …

compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims … described by the risk model based on GCHP. The main approach in both cases is to use functional central limit theorem for the …

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can … be traded in the market, which is incomplete since the idiosyncratic volatility risk is unhedgeable. Under an exponential …

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 …

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

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 …