In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …

area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and … ambiguity-averse investor allocating resources to a risk-free asset, a market index, a green stock, and a brown stock. The study … study contrasts ambiguity-averse investors with their non-ambiguity counterparts, revealing more cautious risk exposures …

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. …

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

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the … improved bounds when the bivariate distributions of each of the risky components and a risk factor are known. When the factor …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …

Utility and risk are two often competing measurements on the investment success. We show that efficient trade … of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

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

their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the … principle for the optimal investment strategies. Furthermore, we consider an explicit context, including liquidity risk …