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 …

financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a …

catastrophic risk management: highly mutually dependent losses, the lack of information, the need for long-term perspectives and … methods are used to guide policy analysis with respect to location-specific risk exposures. …

time horizon. For the case of hyperbolic absolute risk aversion (HARA) utility functions, we obtain the first explicit …

his/her expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer …’s risk process is modeled by a jump-diffusion process and is negatively correlated with the capital gains in the financial …

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

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 …