Today’s reinsurance manager has to balance many diverging interests. Most prominent among these are the risk-return objectives of the company owners and the security requirements of the policyholders. Performance measurement issues and the sheer number of available reinsurance and capital...

Hedge funds are said to be rewarding investments because they have favourable risk-return characteristics on a standalone basis, and because they offer valuable diversification with respect to traditional stock and bond markets. On the other hand, hedge fund returns have a number of...

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...

The changing business environment in non-life insurance and reinsurance has raised the need for new quantitative methods to analyze the impact of various types of strategic decisions on a company’s bottom line. Dynamic Financial Analysis («DFA») has become popular among practitioners as a...

We develop a framework to assess the statistical significance of expected default frequency as calculated by credit risk models. This framework is then used to analyze the quality of two commercially available models that have become popular among practitioners: KMV Credit Monitor and RiskCalc...

The contributions of this article are twofold. First, the performance of a widely used commercial real-time trading model is compared with the performance of systematic currency traders. Second, the real-time trading model is used to evaluate the statistical properties of foreign exchange rates....

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include diversification in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits.To...

A fractal approach is used to analyze financial time series, applying different degrees of time resolution, and the results are interrelated. Some fractal properties of foreign exchange (FX) data are found. In particular, the mean size of absolute values of price changes follows a...

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...