We discuss how the standard Cost-Benefit Analysis should be modified in order to take risk (and uncertainty) into … account. We propose different approaches used in finance (Value at Risk, Conditional Value at Risk, Downside Risk Measures …, and Efficiency Ratio) as useful tools to model the impact of risk in project evaluation. After introducing the concepts …

The mining industry can be extremely volatile during times of economic downturn. We compare extreme risk in mining … share portfolios from each of the worldís seven leading mining areas using Conditional Value at Risk (CVaR) which measures … those risks beyond traditional Value at Risk (VaR) metrics. We also show how CVaR can be used to optimise portfolios and …

Generalized value at risk (GVaR) adds a conditional value at risk or censored mean lower bound to the standard value at … risk and considers portfolio optimization problems in the presence of both constraints. For normal distributions the …

In this paper, we study optimal reinsurance design by minimizing the risk-adjusted value of an insurer’s liability …, where the valuation is carried out by a cost-of-capital approach based either on the value at risk or the conditional value … at risk. To prevent moral hazard and to be consistent with the spirit of reinsurance, we follow Vajda (1962) and assume …

In this paper, we investigate the optimal form of reinsurance when the insurer seeks to minimize the value at risk …(VaR) or the conditional value at risk(CVaR) of his/her total risk exposure. In order to exclude the moral hazard from a …

total risk exposure under the criteria of value at risk (VaR) and conditional value at risk (CVaR), assuming that the … reinsurance premium principles satisfy three basic axioms: distribution invariance, risk loading and stop-loss ordering preserving … over our assumed risk measures and the prescribed premium principles. We further use the Wang’s and Dutch premium …

, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of … with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting …

hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management … techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that …

include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a …