Calibration of multidimensional economic problems proven to be difficult, as there is a high risk of problem miss-identification. In this paper we propose a multistage calibration method to estimate the six parameters of a commodity market price model that includes storage. We assume that the...

Concerning the economic losses associated with the COVID-19 outbreak and other recent large catastrophes, and given that in a connected world the economic losses have a larger impact, we aim to revisit the fundamental insurance paradigms, in particular, pooling and valuation in the presence of...

Motivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management platforms and study efficient insurance schemes in the presence of systematic events. More precisely, we consider three platforms: the risk-sharing, insurance and market platform. First, we...

We propose a modified version of the speculative storage model of Deaton and Laroque (1992) in a continuous-time framework. Unlike most of the literature, where either the demand or the price process are exogenously given, our framework models them endogenously for the storable commodities. This...

Abstract In this paper we introduce a new distortion risk measure that is motivated by the equivalence made by the regulator between the using the CVaR of 97.5 percent instead of VaR of 99 percent. We introduce a distortion function that matches the value of the normal quantiles with the same...

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures...