and compare expected revenue, standard deviation, and conditional-value-at-risk between the pricing policies. The …

Consider a dynamic decision making model under risk with a fixed planning horizon, namely the dynamic capacity control … allowing or denying customer requests for product classes. We investigate risk-sensitive policies in this setting, for which … risk concerns are important for many non-repetitive events and short-time considerations. Analyzing several numerically …

Consider a risk-averse decision maker in the setting of a single-leg dynamic revenue management problem with revenue … maker has the main objective of minimizing the risk of failing to achieve a given target revenue. Interpreting the revenue … management problem in the framework of finite Markov decision processes, we augment the state space of the risk-neutral problem …

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 with a general law-invariant comonotonic additive convex …

We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively … homogeneous risk measure ρ on L1. We first show that under mild assumptions, the set of optimal portfolios for a fixed return is … as the worst-case risk measure.After providing a primal characterization, we focus our attention on coherent risk …

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e … capital analysis. Nevertheless, the notion of RCA has been living in the shadow of another, closely related notion, of risk …, in which the mathematical and regulatory CTE RM may also reflect the risk perception of a profit-maximizing insurer …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR …) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk … optimization, capital requirements, portfolio selection, pricing and hedging issues, risk transference, risk sharing, etc. In …