context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options …

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

This paper analyzes the joint association of emotions and knowledge in decision-making under uncertainty on a TV game … uncertainty (PU), which have mostly been investigated separately in Economics and Psychology until now. We examine the preference … for uncertainty, proxied by a preference for gambling against a sure payoff, in 59 contestants in the TV game show "JOKER …

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

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 …

, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed …

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 examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …

cyber-risk management plan, and devising a more proactive and collaborative approach that is suitable according to their … organization context. To this end, firstly various enterprise, Information Technology (IT), and cybersecurity risk management … frameworks are thoroughly reviewed along with their advantages and limitations. Then, we propose a proactive cybersecurity risk …

cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …