much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover …? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a … new framework based on multivariate risk measures. We analyze the results for the log-elliptical model of dependent claims …

proposed to split Nat Cat risk into idiosyncratic (and hence insurable) risk and systematic risk (carrying the correlated part …). It is explained that the systematic risk can be transferred to capital markets using a set of parametric CAT bonds …. Premium calculation is presented for insuring the decomposed risk. Portfolio risk-return trade-off measures for investing on …

, urges stakeholders to promote innovative solutions involving risk transfers that account for the new risk exposures. These …

addressing the disaster's underlying risk, the traditional disaster insurance strategy largely focuses on providing financial … significance of effective disaster risk reduction strategies applied within the innovative insurance mechanism in lowering overall … help insurance firms, policy planners, and disaster risk managers make decisions that will benefit local communities and …

-inhomogeneous drivers inspired by recent results in credit risk. Moreover, we derive a number of useful results for modeling and pricing … dynamic claims processes. The results can in particular be used for pricing Catastrophe Bonds (CAT bonds), a traded risk …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches … between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two …-population model to measure and assess longevity basis risk is required. In this paper, we aim to construct a two-population mortality …

Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the … market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio … present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact …

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 …