risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

In the context of stochastic uncertainty and the increasing complexity of logistics processes in the retail sector … purpose of the present work is to assess the impact of risk events and unstable conditions on the level of quality of supply … occurrence of a man-made risk event and the shutdown of production of one of the suppliers on the financial, customer, and …

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 …

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial …

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

variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes … of the total risk. We test the performance of the presented models by accumulating ground-up loss for 29,000 risks …