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 …

. There is now a growing tendency for risk manager to bypass traditional insurance markets, and a variety of instruments … designed directly to transfer risk to the financial markets. After a couple of years of low catastrophe claims, 1998 claims are …

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 …

We consider a risk sharing problem in which agents pool their random costs together and seek an allocation rule to … redistribute the risk back to each agent. The problem is put into a cooperative game framework and we focus on two salient … cooperative game theory. When the risks of the agents are measured by coherent risk measures, we construct a risk allocation rule …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company … better than all tested one-instrument strategies. A more substantial risk reduction could, however, be achieved by …

We test the hypothesis that practicing Enterprise Risk Management (ERM) reduces firms' cost of reducing risk. Adoption … contribute most to the total risk of the firm, and optimize the evaluation and selection of available hedging instruments. We … hypothesize that these advantages allow ERM-adopting firms to produce greater risk reduction per dollar spent. Our hypothesis …

This paper provides a simple model for basis risk in a longevity framework, by separating common and idiosyncratic risk … factors. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference … rate risk …

When firms approach distress, whether they engage in asset substitution (risk shifting) or rebuild equity (risk …

Inflation risk is of high relevance in non-life insurers' long-tail business and can have a major impact on claims … inflation risk and its impact on reserving. Toward this end, we use stepwise multiple regression analysis to identify relevant …

Every model presents an approximation of reality and thus modeling inevitably implies model risk. We quantify model … risk in a non-parametric way, i.e., in terms of the divergence from a so-called nominal model. Worst-case risk is defined … as the maximal risk among all models within a given divergence ball. We derive several new results on how different …