Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton … company can borrow and invest money at a constant real-valued risk-free interest rate r. Our model allows for stochastic risk …

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 …

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 …

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 …

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

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 …

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 …

We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a … worst-case spectral risk measure of the loss with respect to the dependence between the factors. The MSP admits a …

. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension … portfolio. As in Rauh (2009), the risk-shifting and risk-management incentives increase when a sponsoring company runs into … financial trouble. Unlike Rauh (2009), we show that risk management must not constitute a force countering risk shifting. On the …