A kind of worst-case value-at-risk, GVaR, is defined to measure risk incorporating model uncertainty. Compared with most extant notions of worst-case VaR, GVaR can be computed by an explicit formula, and can be applied to large portfolios of several hundreds dimensions with low computational...

We propose a novel corporate social responsibility (CSR) index that captures various aspects of an insurer's internal and external CSR activities. We first show that insurers worldwide have significantly increased their CSR activities with the average index value almost doubling between 2006 and...