.e., the client’s perspective, from the standpoint of the project. In the literature, there are several risk interpretations … depending on the perceived project risk. We have established the orientation directions along which these segments may well be … meaningfully described in terms of perceived investment risk concerns and socio-demographic characteristics that influence cluster …

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims …

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 …

Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a … single indicator to evaluate risk ignoring any information about income. The present paper will generalize one …-dimensional VaR to two-dimensional VaR with income-risk double indicators. We first construct a double-VaR with (μ,σ 2 ) (or (μ,VaR 2 …

risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these … three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would …

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 … size of the underlying annuity portfolio. The results compare the risk management benefits and costs of longevity …

-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative nth-degree risk … aversion measure and decreasing relative nth-degree risk aversion to provide conditions guaranteeing the preference for “harm …

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from … issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as … determined using Solvency II Standard Formula. In particular, two approaches to calculate Value-at-Risk are analyzed: one …