including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … sensitivity analysis framework suitable for risk models. …

We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an … insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the … initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We also perform some numerical …

Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as … expected utility for various utility functions, significantly broadening the potential for analytical and computational …

price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our … beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB … of risk aversion, which is inconsistent with the existing literature. …

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures … results hold even if the CVaR is used, because all downside risk measures are difficult to estimate. The popularity of … variance as a measure of risk appears therefore to be rationally justified. …

with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to …

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is … deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on … development for the dual risk models to minimize the ruin probability of the underlying company. We will also study the …

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk … portfolio, minimum-variance portfolio, extreme risk index portfolio, and most diversified portfolio. The performance of …

choosing a solution is modeling the decision maker's attitude to risk. The expected utility theory was the first approach that … decisions under risk conditions is the cumulative prospect theory. This paper presents the development history of various … extensions of the original expected utility theory, and the analysis of the main properties of the cumulative prospect theory …