This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …

we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density … parameters in order to facilitate the application of the techniques. -- Risk neutral density ; Pricing kernel ; Kernel smoothing …This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches …

We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by … maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor …-used mean-variance approach based on the cumulative cash values, geometric mean returns, and average risk-adjusted returns. We …