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

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In … this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the … net risk exposure of a generic insurer, in conjunction with a general law-invariant comonotonic additive convex …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

important novelty may be the incorporation of the background risk that the reinsurer uses in order to diversify (or hedge) the … risk ceded by the insurer. Accordingly, general methods to prevent the reinsurer moral hazard must be extended, and a new … constraint must be satisfied by the selected reinsurance contract, namely, "the reinsurer increment of risk must be lower than …

Downside and deviation risk measures are becoming more and more important in many disciplines with clear interfaces … applications (risk management, portfolio selection, pricing and hedging, etc.), but, to the best of our knowledge, bidual … linearize many problems will be proved, with special focus on risk optimization. This is important because there are very …

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never … dividend payment strategies of barrier and threshold type. We study the case where once during the lifetime of the risk process … payments until ruin. We first consider a general spectrally-negative Lévy risk model, and then re fine the analysis for a …

approach, called the “MV CVaR approach”, to manage tail risk of an insurer's asset-liability portfolios. Finally, we compare … numerical analysis provides empirical support for the effectiveness of the MV CVaR approach in controlling downside risk …

incorporate mortality risk. We prove limiting results for the hedging strategies and demonstrate mortality risk diversification …. Numerical examples are provided which illustrate the effectiveness of hedging and the diversification of mortality risk under …

complex commercial model of natural catastrophe insurance risk. Working within an ambiguity-averse decision framework, we … presence of model risk …

The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk … exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium … and change in the risk margin requirement as a result of reinsurance. Depending on how the risk margin corresponding to …