Downside and deviation risk measures are becoming more and more important in many disciplines with clear interfaces with Applied Mathematics and Operations Research. Their dual representations have played critical roles in most of their applications (risk management, portfolio selection, pricing...

This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if division managers are allowed to venture into all...

A method to hedge variable annuities in the presence of basis risk is developed. A regime-switching model is considered for the dynamics of market assets. The approach is based on a local optimization of risk and is therefore very tractable and flexible. The local optimization criterion is...

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...

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an insurance organisation. There has been a considerable amount of work in...

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...

This paper deals with the optimal reinsurance problem and involves the goals of both insurer and reinsurer. An 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...

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never decrease. This addresses a concern that has often been raised in connection with the practical relevance of optimal classical dividend payment strategies of barrier and threshold...

We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distributions are known, but whose joint distribution is unknown. The factors may take values in complete separable metric...

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...