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Stochastic Areas of Diffusions and Applications in Risk Theory
Cui, Zhenyu - 2013
In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated...
Persistent link: https://www.econbiz.de/10013072263
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Risk and choice : a research saga
Gollier, Christian; Hammitt, James K.; Treich, Nicolas - In: Journal of risk and uncertainty : JRU 47 (2013) 2, pp. 129-145
Persistent link: https://www.econbiz.de/10010222381
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The Riskiness of Risk Models
Boucher, Christophe - 2011
We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction, of order of 20-40% of VaR levels in...
Persistent link: https://www.econbiz.de/10013125389
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Financial Risk Taking in the Presence of Correlated Non-Financial Background Risk
Chiu, W. Henry - 2020
This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as a necessary and sufficient "integral condition'' that...
Persistent link: https://www.econbiz.de/10012852335
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Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection with Background Risk
Guo, Xu - 2018
This paper extends Jiang, et al. (2010), Guo, et al. (2017), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient...
Persistent link: https://www.econbiz.de/10012931231
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Financial risk taking in the presence of correlated non-financial background risk
Chiu, W. Henry - In: Journal of mathematical economics 88 (2020), pp. 167-179
Persistent link: https://www.econbiz.de/10012589943
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Risk taking with background risk under recursive rank-dependent utility
Freeman, David - In: Mathematical social sciences 87 (2017), pp. 72-74
Persistent link: https://www.econbiz.de/10011927310
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A risk index model for uncertain portfolio selection with background risk
Huang, Xiaoxia; Jiang, Guowei; Gupta, Pankaj; Mehlawat, … - In: Computers & operations research : and their … 132 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012595736
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Group Representations for Decision Making under Risk and Uncertainty
Charles-Cadogan, G. - 2012
This paper extends decision making under risk and uncertainty to group theory via representations of invariant … behavioural space for prospect theory. First, we predict that canonical specifications for value functions, probability weighting … in decision theory. Moreover, representations include the special unitary group SU(2) and orthogonal group Θ …
Persistent link: https://www.econbiz.de/10013096459
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Time Consistent Solvency Capital Requirement Under Solvency II
Gambaro, Anna - 2020
In this paper, we analyse the current dynamic definitions of the Solvency Capital Requirement (SCR) and we propose a new dynamic and time consistent formulation of the SCR, that is compliant with the Solvency II directive. In case of a single liability cash-flow at maturity, Devolder and...
Persistent link: https://www.econbiz.de/10012841778