Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

margins for systematic biometric and financial risk are in practice typically chosen as time-constant percentages on top of … the best estimate transition intensities. We develop a risk-oriented method for the allocation of a total safety margin to …

interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market … the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry … Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

Central counterparties' (CCPs) role is to take over the counterparty risk during trading. To fulfill its role, a CCP … Monte Carlo simulation to simulate a 30 year time-series for three different products, which gave us the basis for the value-at-risk …

The stability of the financial system is associated with systemic risk factors such as the concurrent default of …

and timeout services due to system failures. One of the operational risk management steps is to estimate the value of the … is to resample the data using MEBoot. This process is a simulation of the operational risk loss data of digital banking … to obtain a combination of risk values as maximum potential losses. The analysis results show that the maximum potential …

global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its …-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a … Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto …

In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our … allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …