Recent trends in portfolio management emphasize the importance of reducing carbon footprints and aligning investments with sustainable practices. This paper introduces Sensitivity Value-at-Risk (SensitivityVaR), an advanced distortion risk measure that combines Value-at-Risk (VaR) and Expected...

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this paper, we aim to explore a combination of these...

Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The innovation lies in the integration of classical credibility...

Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the insurance premium is random. Their dependence structure is modeled using Sarmanov’s bivariate exponential distribution and the Farlie–Gumbel–Morgenstern...

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the insurance premium is random. Their dependence structure is modeled using Sarmanov's bivariate exponential distribution and the Farlie-Gumbel-Morgenstern (FGM)...

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this paper, we aim to explore a combination of these...