We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in...

This study addresses three problematic issues concerning the application of the linear correlation coefficient in the high-frequency financial data domain. First, correlation of intra-day, equally spaced time series derived from unevenly spaced tick-by-tick data deserves careful treatment if a...

The development of risk model for managing portfolio of financial institutions and insurance companies require both from the regulatory and management points of view a strong validation of the quality of the results provided by internal risk models. In Solvency II for instance, regulators ask...

Future evolution of mortality poses important challenges for life insurance, pension funds, public policy and fiscal planning. Indeed, when fair values, premium rates and risk reserves are computed, sound and accurate models to forecast stochastic longevity are needed. In this paper, we propose...

In this paper we compare the diversification benefit of portfolios containing excess-of-loss treaties and portfolios containing quota-share treaties, when the risk measure is the (excess) Value-at-Risk or the (excess) Expected Shortfall. In a first section we introduce the set-up under which we...

In this study, we examine different quantitative methods to recover the risk neutral distribution function associated to the prices of option on bank shares. This is useful for a wide range of applications, such as determining the implicit State guarantee that systemic financial institutions...

We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and...

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

The need for having a good knowledge of the degree of dependence between various risks is fundamental for understanding their real impacts and consequences, since dependence reduces the possibility to diversify the risks.This paper expands in a more theoretical approach the methodology developed...

In this paper, we review the concept of risk, its evolution in history and the big changes we experienced in the last 50 years. We conclude that peak risks are growing and the need for risk management is becoming a societal demand. Two phenomena are identified to render risks more complex,...