We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

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 …

-cycle mutual funds that pass all risk directly through to the participant. We use CCA to demonstrate how financial firms can design …

governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of … minor importance. -- unit-linked life insurance contracts ; mortality model risk ; price bounds ; stochastic control …

novel dynamic and path-dependent RP approach for real-world and risk-neutral sampling. We show that our RP approach yields …

In this paper we discuss the potential of randomizing reinsurance treaties for efficient risk management. While it may …

, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real …