While it is often argued that allocation decisions can be best expressed in terms of exposure to rewarded risk factors, as opposed to somewhat arbitrary asset class decompositions, the practical implications of this paradigm shift for the optimal design of the policy portfolio still remain...

We measure the contributions to risk of a set of factors, strategies, or investments, based on "Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. We then introduce a novel definition of contributions to risk, which...

We study blockchain adoption in insurance-reinsurance markets. Unlike standard operational costs related to claim processing that scale linearly with the volume of claims, blockchain operating costs per firm are independent of claim volume and decrease with the adoption rate since verification...

We study blockchain adoption in insurance-reinsurance markets. Unlike standard operational costs related to claim processing that scale linearly with the volume of claims, blockchain operating costs per firm are independent of claim volume and decrease with the adoption rate since verification...