constraint is de fined in terms of the risk-neutral value of the fi nal contract payout. We seek the investment strategy that …

The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and … return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the … expected losses and expected excess returns over the risk free rate. Multiple criteria decision making (MCDM) has found …

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

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 …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

important novelty may be the incorporation of the background risk that the reinsurer uses in order to diversify (or hedge) the … risk ceded by the insurer. Accordingly, general methods to prevent the reinsurer moral hazard must be extended, and a new … constraint must be satisfied by the selected reinsurance contract, namely, "the reinsurer increment of risk must be lower than …

Downside and deviation risk measures are becoming more and more important in many disciplines with clear interfaces … applications (risk management, portfolio selection, pricing and hedging, etc.), but, to the best of our knowledge, bidual … linearize many problems will be proved, with special focus on risk optimization. This is important because there are very …

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never … dividend payment strategies of barrier and threshold type. We study the case where once during the lifetime of the risk process … payments until ruin. We first consider a general spectrally-negative Lévy risk model, and then re fine the analysis for a …

We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a … worst-case spectral risk measure of the loss with respect to the dependence between the factors. The MSP admits a …