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

and emotional status on risk behavior in general. …

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 …

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. …

, enabling us to study parameter uncertainty and the risk related to the estimation procedure (estimation risk). In particular …, we use the distribution of empirical parameters from IBM and EURO STOXX50. The evidence suggests that estimation risk …

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 …