second by combining the influence of catastrophes on claims amounts (severity risk) and on the probability of loss (frequency … risk). We show that the menu of contracts proposed in previous research, where only one type of catastrophe is considered …

, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their … and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider …

governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of …

constraints on dividends and bonuses payments. Banking on these regulations to raise prudence regarding risk taking among banks …

governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of …

Modern Portfolio Theory and introduces the practical idea of treating some goals as constraints. How this works in practice …

The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and … return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the … expected losses and expected excess returns over the risk free rate. Multiple criteria decision making (MCDM) has found …