Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an important role for the solvency of insurers. However, current microprudential frameworks like the US RBC framework and Solvency II consider only name concentration risk...

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...

This paper extends Jiang, et al. (2010), Guo, et al. (2018), 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...

Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal...