multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the … required risk capital …

of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a … pandemic is similar to the property risk associated with catastrophic events such as earthquakes and hurricanes and the … security used to hedge the risk is similar to a CAT bond. This work looks at the incentives associated with insurance …

determining risk in the agricultural sector. Drought, heat stress, flood, market volatility among the others, have caused heavy … that have been taken to reduce economic losses for Italian farmers. We also tried to highlight the difference between risk …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities … benefits or from investing in survivor swaps. The effect of financial risk on these hedge effects is typically ignored. The aim … of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account …

requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

The Euler (or gradient) allocation technique defines a financial institution's marginal cost of a risk exposure via … calculation of the gradient of a risk measure evaluated at the institution's current portfolio position. The technique, however …, relies on an arbitrary selection of a risk measure. We reverse the sequence of this approach by calculating the marginal …