- where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …

. Because death risk increases with age, the actuarial value of a life insurance policy increases over time and becomes positive …

's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee … insurance fees are charged respectively for the market exposure and for the protection from the downside risk. We investigate …

complex commercial model of natural catastrophe insurance risk. Working within an ambiguity-averse decision framework, we … presence of model risk …

approach, called the “MV CVaR approach”, to manage tail risk of an insurer's asset-liability portfolios. Finally, we compare … numerical analysis provides empirical support for the effectiveness of the MV CVaR approach in controlling downside risk …

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 …