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 other examples are given. Actuarial...

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA...

Interbank borrowing and lending may induce systemic risk into financial markets. A simple model of this is to assume that log-monetary reserves are coupled, and that banks can also borrow/lend from/to a central bank. When all banks optimize their cost of borrowing and lending, this leads to a...

Draudimo kompanijų veiklos principas - prisiimti apdraustųjų rizikas. Tuo atveju, kai apdraustųjų rizikos yra skirtingos, tikslinga, atsižvelgiant į rizikos laipsnį, pritaikyti atitinkamas draudimo įmokas, todėl labai svarbu nustatyti ir įvertinti požymių, lemiančių draudžiamojo...

The present paper analyses the portfolios composed from the shares of some Lithuanian firms. The methods applied to compose and examine the portfolios were those used in foreign countries: the Makowitz model, the Sharpe model, and the randomly composed portfolio. The latter model is the one in...

An easy-to-use quantitative risk analysis model is developed for the private security industry in South Africa, which can be used as a suitable analysing tool in the hands of the private security manager.This model incorporate different concepts such as the probability, impact, cost of risk,...

"Charles Tapiero, as the head of the biggest financial engineering program in the world and business consultant, has his finger on the pulse of the shift that is coming in financial engineering applications and study. With an eye toward the future, he has crafted a comprehensive and practical...