Model-based decisions are highly sensitive to model risk that arises from the inadequacy of the adopted model. This paper reviews the existing literature on model risk assessment and shows how to use the theoretical results to develop a corresponding best practice. Specifically, we develop tools...

In this paper, we derive upper and lower bounds on the Range Value-at-Risk of the portfolio loss when we only know its mean and variance, and its feature of unimodality. In a first step, we use some classic results on stochastic ordering to reduce this optimization problem to a parametric one,...

We conduct a simultaneous test for several rational and behavioral factors which have been hypothesized to affect the uptake of life annuities on a sample of American individuals. In addition, we investigate whether analysts' stock market expectations affect the decision to annuitize retirement...

We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with market prices of options on these assets and their weighted index. In an empirical application, we use options on the S&P 500 index and its nine industry sectors. The...

We study optimal investment strategies under the objective of maximizing the Omega ratio, proposed by Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance assessment of investment strategies. We show that in a standard set-up of the financial market the problem is...

This article displays a study on the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...