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Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - 2023

Stop-loss and limited loss random variables are two important transforms of a loss random variable and appear in many modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured by risk measures. When only partial information...

Persistent link: https://www.econbiz.de/10014355245

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

Asimit, Alexandru Vali - 2013

Persistent link: https://www.econbiz.de/10013076306

Robust Stochastic Games and Systemic Risk

Huang, Xuancheng - 2017

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...

Persistent link: https://www.econbiz.de/10012949299

Banach Contraction Principle and ruin probabilities in regime-switching models

Gajek, Lesław; Rudź, Marcin - In: Insurance / Mathematics & economics 80 (2018), pp. 45-53

Persistent link: https://www.econbiz.de/10011872912

Composite prospect theory : a proposal to combine "prospect theory" and "cumulative prospect theory"

Al-Nowaihi, Ali; Dhami, Sanjit S. - 2010

theories, rank dependent utility (RDU) and cumulative prospect theory (CP) incorporate (i) but not (ii). By contrast, prospect … theory (PT) addresses (i) and (ii) by proposing an editing phase that eliminates extremely low probability events, followed … prospect theory (CCP). CCP combines the editing and decision phases of PT into one phase and does not allow for the choice of …

Persistent link: https://www.econbiz.de/10003954029

Weak Measurability and Characterizations of Risk

Khan, M. Ali; Sun, Yeneng - 1999

In the context of a continuum of random variables, arising, for example, as rates of return in financial markets with a continuum of assets, or as individual responses in games with a continuum of players, an important economic issue is to show how idiosyncratic risk can be removed through some...

Persistent link: https://www.econbiz.de/10014194823

Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

Persistent link: https://www.econbiz.de/10009576212

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580

Dynamic consistent alpha-maxim expected utility

Beißner, Patrick; Lin, Qian - 2015

We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of...

Persistent link: https://www.econbiz.de/10010477162

Simple Return Rate at Imprecision Risk

Piasecki, Krzysztof Maciej - 2011

The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus...

Persistent link: https://www.econbiz.de/10013122474

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