requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

Reputational risk has become a critical concern for most organizations. Insurers, who rely on trust to generate … expectations, which we test using a rich data set on operational loss risk events. Results indicate that passage of the Sarbanes … significantly related to reputational risk. In some samples, Tobin's Q, the level of competition, and the discount rate also were …

multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the … required risk capital …

The Euler (or gradient) allocation technique defines a financial institution's marginal cost of a risk exposure via … calculation of the gradient of a risk measure evaluated at the institution's current portfolio position. The technique, however …, relies on an arbitrary selection of a risk measure. We reverse the sequence of this approach by calculating the marginal …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

Despite the use of VaR as a means to control risk, using VaR can have the opposite effect. VaR is used by bank and … insurance regulators more than any other risk measure. A value-at-risk (VaR) constraint on the probability that future firm … systemic risk, the large banks, to use VaR constraints thereby encouraging the banks to which the global financial system is …

cooperative game theory. When the risks of the agents are measured by coherent risk measures, we construct a risk allocation rule … based on duality theory and establish its stability. When restricting the risk measures to the class of distortion risk …We consider a risk sharing problem in which agents pool their random costs together and seek an allocation rule to …

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 analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …